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Consistency conditions for affine term structure models
Levendorskii, Sergei - Econometric Society - 2004
Affine term structure models are widely applied for pricing of bonds and interest rate derivatives but the consistency … bounded from below, which excludes many classes used in applications. Second, the solution to the bond pricing problem must be …
Persistent link: https://www.econbiz.de/10005063599
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On Leverage in a Stochastic Volatility Model
Yu, Jun - Econometric Society - 2004
This paper is concerned with specification for modelling financial leverage effect in the context of stochastic volatility (SV) models. Two alternative specifications co-exist in the literature. One is the Euler approximation to the well known continuous time SV model with leverage effect and...
Persistent link: https://www.econbiz.de/10005063753
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On leverage in a stochastic volatility model
Yu, Jun - Econometric Society - 2004
This paper is concerned with specification for modelling financial leverage effect in the context of stochastic volatility (SV) models. Two alternative specifications co-exist in the literature. One is the Euler approximation to the well known continuous time SV model with leverage effect and...
Persistent link: https://www.econbiz.de/10005702757