A threshold model for local volatility : evidence of leverage and mean reversion effects on historical data
Antoine Lejay and Paolo Pigato
| Year of publication: |
2019
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|---|---|
| Authors: | Lejay, Antoine ; Pigato, Paolo |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 22.2019, 4, p. 1-24
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| Subject: | Leverage effect | realized volatility | mean-reversion | regime-switch | parametric estimation | threshold diffusion | stock price model | Volatilität | Volatility | Börsenkurs | Share price | Schätzung | Estimation | Kapitaleinkommen | Capital income | Zeitreihenanalyse | Time series analysis | Mean Reversion | Mean reversion |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219024919500171 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012030906