Asymmetry in stochastic volatility models: threshold or correlation?
Smith, Daniel (2009) Asymmetry in stochastic volatility models: threshold or correlation? Studies in Nonlinear Dynamics and Econometrics, 13(3), pp. 1-34.
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|Item Type:||Journal Article|
|Keywords:||Asymmetry, Volatility models, Threshold, Correlation, Leverage effect|
|Subjects:||Australian and New Zealand Standard Research Classification > MATHEMATICAL SCIENCES (010000) > APPLIED MATHEMATICS (010200)|
Australian and New Zealand Standard Research Classification > ECONOMICS (140000) > ECONOMETRICS (140300)
|Divisions:||Current > QUT Faculties and Divisions > QUT Business School|
Current > Schools > School of Economics & Finance
|Deposited On:||29 Aug 2011 14:11|
|Last Modified:||29 Feb 2012 23:56|
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