Empirical evidence of the leverage effect in a stochastic volatility model : a realized volatility approach
Year of publication: |
2012
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Authors: | Xu, Dinghai ; Li, Yuying |
Published in: |
Frontiers of economics in China : selected publications from Chinese universities. - Beijing : Higher Education Press, ISSN 1673-3444, ZDB-ID 2295851-4. - Vol. 7.2012, 1, p. 22-43
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Subject: | Volatilität | Volatility | ARCH-Modell | ARCH model | Finanzmarkt | Financial market | Kapitalanlage | Financial investment | Stochastischer Prozess | Stochastic process |
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