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A dynamic leverage stochastic volatility model
Nguyen, Hoang; Trong-Nghia Nguyen; Minh-Ngoc Tran - In: Applied economics letters 30 (2023) 1, pp. 97-102
Persistent link: https://www.econbiz.de/10013553004
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A dynamic leverage stochastic volatility model
Nguyen, Hoang; Trong-Nghia Nguyen; Minh-Ngoc Tran - 2021
Persistent link: https://www.econbiz.de/10012605430
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A statistical recurrent stochastic volatility model for stock markets
Trong-Nghia Nguyen; Minh-Ngoc Tran; Gunawan, David; … - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 2, pp. 414-428
Persistent link: https://www.econbiz.de/10014448201
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Recurrent conditional heteroskedasticity
Trong-Nghia Nguyen; Minh-Ngoc Tran; Kohn, Robert - In: Journal of applied econometrics 37 (2022) 5, pp. 1031-1054
Persistent link: https://www.econbiz.de/10013464647