Dynamic Asymmetric Leverage in Stochastic Volatility Models
Year of publication: |
2005
|
---|---|
Authors: | Asai, Manabu ; McAleer, Michael |
Published in: |
Econometric Reviews. - Taylor & Francis Journals, ISSN 0747-4938. - Vol. 24.2005, 3, p. 317-332
|
Publisher: |
Taylor & Francis Journals |
Subject: | Asymmetric effects | Monte Carlo likelihood | Stochastic volatility | Threshold effects |
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