Asai, Manabu; McAleer, Michael - In: Econometric Reviews 24 (2005) 3, pp. 317-332
In the class of stochastic volatility (SV) models, leverage effects are typically specified through the direct correlation between the innovations in both returns and volatility, resulting in the dynamic leverage (DL) model. Recently, two asymmetric SV models based on threshold effects have been...