On Leverage in a Stochastic Volatility Model
Year of publication: |
2004-04
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Authors: | Yu, Jun |
Institutions: | School of Economics, Singapore Management University |
Subject: | Bayes factors | Leverage effect | Markov chain Monte Carlo | Nonlinear state space models | Quasi maximum likelihood |
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 13-2004 19 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
Yu, Jun, (2004)
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On leverage in a stochastic volatility model
Yu, Jun, (2004)
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Yu, Jun, (2004)
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