On Leverage in a Stochastic Volatility Model
This paper is concerned with specification for modelling financial leverage effect in the context of stochastic volatility (SV) models. Two alternative specifications co-exist in the literature. One is the Euler approximation to the well known continuous time SV model with leverage effect and the ot...
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| 格式: | text |
| 語言: | English |
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Institutional Knowledge at Singapore Management University
2004
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| 在線閱讀: | https://ink.library.smu.edu.sg/soe_research/837 https://ink.library.smu.edu.sg/context/soe_research/article/1836/viewcontent/SSRN_id527482.pdf |
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