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~institution:"Departamento de Estadistica, Universidad Carlos III de Madrid"
~institution:"Department of Economics, University of Waterloo"
~subject:"Threshold Stochastic Volatility"
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Threshold Stochastic Volatility
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Departamento de Estadistica, Universidad Carlos III de Madrid
Department of Economics, University of Waterloo
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One for all : nesting asymmetric stochastic volatility models
Mao, Xiuping
;
Ruiz, Esther
;
Veiga, Helena
-
Departamento de Estadistica, Universidad Carlos III de …
-
2013
heteroscedastic time series with
leverage
effect
. Although there are already several models proposed in the literature with the same …
Persistent link: https://www.econbiz.de/10010861885
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