A triple-threshold leverage stochastic volatility model
Year of publication: |
2015
|
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Authors: | Wu, Xin-Yu ; Zhou, Hai-Lin |
Published in: |
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet. - Berlin : De Gruyter, ISSN 1558-3708, ZDB-ID 1385261-9. - Vol. 19.2015, 4, p. 483-500
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Subject: | asymmetry | efficient importance sampling | leverage effect | stochastic volatility | threshold effect | Value at Risk | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Theorie | Theory | Risikomaß | Risk measure | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Kapitalstruktur | Capital structure | ARCH-Modell | ARCH model | Stichprobenerhebung | Sampling | Monte-Carlo-Simulation | Monte Carlo simulation | Schätzung | Estimation |
Extent: | graph. Darst. |
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Type of publication: | Article |
Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Notes: | Systemvoraussetzungen: PDF Reader |
Other identifiers: | 10.1515/snde-2014-0044 [DOI] |
Source: | ECONIS - Online Catalogue of the ZBW |
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