Related Books

On Leverage in a Stochastic Volatility Model
Language: en
Pages: 18

On Leverage in a Stochastic Volatility Model

Authors: Jun Yu
Categories: Bayesian statistical decision theory
Type: BOOK - Published: 2004 - Publisher:

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This paper is concerned with specification for modelling finanical leverage effect in the context of stochastic volatility models.
Research Report
Language: en
Pages:

Research Report

Authors:
Categories:
Type: BOOK - Published: 1998 - Publisher:

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A Stochastic Volatility Model with Leverage Effect and Regime Switching
Language: en
Pages: 125

A Stochastic Volatility Model with Leverage Effect and Regime Switching

Authors: Hong Jiang
Categories: Asset-liability management
Type: BOOK - Published: 2014 - Publisher:

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Incorporation of a Leverage Effect in a Stochastic Volatility Model
Language: en
Pages: 18

Incorporation of a Leverage Effect in a Stochastic Volatility Model

Authors: Ole Eiler Barndorff-Nielsen
Categories:
Type: BOOK - Published: 1998 - Publisher:

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A Study About the Existence of the Leverage Effect in Stochastic Volatility Models
Language: en
Pages: 25

A Study About the Existence of the Leverage Effect in Stochastic Volatility Models

Authors: Ionut Florescu
Categories:
Type: BOOK - Published: 2018 - Publisher:

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The empirical relationship between the return of an asset and the volatility of the asset has been well documented in the financial literature. Named the levera