Dynamic asymmetric leverage in stochastic volatility models

Econometric Reviews

Volumn 24, Issue 3, 2005, Pages 317-332

  Asai, Manabu ^a   McAleer, Michael ^b  

^a SOKA UNIVERSITY   (Japan)

^b UNIVERSITY OF WESTERN AUSTRALIA   (Australia)

Author keywords

Asymmetric effects; Monte Carlo likelihood; Stochastic volatility; Threshold effects

Indexed keywords

EID: 25444533037     PISSN: 07474938     EISSN: None     Source Type: Journal    
DOI: 10.1080/07474930500243035     Document Type: Article

References (21)

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