Asymmetric Response of Volatility: Evidence from Stochastic Volatility Models and Realized Volatility
Year of publication: |
2004-09
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Authors: | Yu, Jun |
Institutions: | School of Economics, Singapore Management University |
Subject: | Bayes factors | Leverage effect | Markov chain Monte Carlo | EGARCH | Realized volatility | Asymmetric volatility |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | Published in SMU Economics and Statistics Working Paper Series Number 24-2004 30 pages |
Classification: | C11 - Bayesian Analysis ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; G12 - Asset Pricing |
Source: |
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On Leverage in a Stochastic Volatility Model
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On Leverage in a Stochastic Volatility Model
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