Asymmetry in stochastic volatility models: threshold or correlation?
| Data(s) |
2009
|
|---|---|
| Identificador | |
| Publicador |
The Berkley Electronic Press |
| Relação |
Smith, Daniel (2009) Asymmetry in stochastic volatility models: threshold or correlation? Studies in Nonlinear Dynamics and Econometrics, 13(3), pp. 1-34. |
| Fonte |
QUT Business School; School of Economics & Finance |
| Palavras-Chave | #010200 APPLIED MATHEMATICS #140300 ECONOMETRICS #Asymmetry, Volatility models, Threshold, Correlation, Leverage effect |
| Tipo |
Journal Article |
