A threshold model for local volatility : evidence of leverage and mean reversion effects on historical data
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
|
Subject: | Leverage effect | realized volatility | mean-reversion | regime-switch | parametric estimation | threshold diffusion | stock price model | Volatilität | Volatility | Börsenkurs | Share price | Schätzung | Estimation | Mean Reversion | Mean reversion | Zeitreihenanalyse | Time series analysis | Kapitalstruktur | Capital structure | Stochastischer Prozess | Stochastic process |
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