The leverage effect in stochastic volatility: new models, Bayesian inference, and model selection
A striking empirical feature of many financial time series is that when the price drops, the future volatility increases. This negative correlation between the financial return and future volatility processes was initially addressed in Black 76 and explained based on financial leverage, or a firm�...
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| Format: | Others |
| Language: | en |
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McGill University
2012
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| Online Access: | http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=107636 |