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Articles 1 - 2 of 2
Full-Text Articles in Business
Geometric Information Of Yield Curve, Unspanned Stochastic Volatility, And Affine Heath-Jarrow-Morton Models, Qingbin Wang
Geometric Information Of Yield Curve, Unspanned Stochastic Volatility, And Affine Heath-Jarrow-Morton Models, Qingbin Wang
Legacy Theses & Dissertations (2009 - 2024)
The differences between the daily routine of fitting the yield curve (or equivalently, the forward rate curve) and the dynamic
A Stochastic Volatility Model With Leverage Effect And Regime Switching, Hong Jiang
A Stochastic Volatility Model With Leverage Effect And Regime Switching, Hong Jiang
Legacy Theses & Dissertations (2009 - 2024)
Modeling the volatility of asset returns is a very important study in financial economics. Among the time-varying volatility models, the Stochastic Volatility (SV) models are argued to have advantages over the autoregressive conditional heteroskedasticity (ARCH) models. The purpose of this article is to put forward a generalized and flexible Stochastic Volatility model, the Stochastic Volatility Model with Leverage Effect and Regime Switching (SVLR model), which could capture the complex features of financial time series to the most extent.