A new class of discrete-time stochastic volatility model with correlated errors
Sujay Mukhoti and Pritam Ranjan
| Year of publication: |
2019
|
|---|---|
| Authors: | Mukhoti, Sujay ; Ranjan, Pritam |
| Published in: |
Applied economics. - New York, NY : Routledge, ISSN 1466-4283, ZDB-ID 1473581-7. - Vol. 51.2019, 3, p. 259-277
|
| Subject: | Jump | leverage | martingale | skewness | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Martingal | Martingale | Kapitaleinkommen | Capital income | Korrelation | Correlation | Markov-Kette | Markov chain | Optionspreistheorie | Option pricing theory |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/00036846.2018.1494804 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012160495