Research Paper | Mathematics | China | Volume 5 Issue 10, October 2016
Threshold Leverage Stochastic Volatility Model with Jump
Abstract: This paper extends a triple-threshold leverage stochastic volatility model in Wu and Zhou (2015) by incorporating jump in mean equation and volatility equation. In this paper the volatility is treated as observable, in particular, the realized volatility is considered in the paper to be a proxy for the latent true volatility.
Keywords: Threshold, Leverage, Stochastic volatility, Jump
Edition: Volume 5 Issue 10, October 2016,
Pages: 87 - 89
How to Cite this Article?
Yao Meng, "Threshold Leverage Stochastic Volatility Model with Jump", International Journal of Science and Research (IJSR), https://www.ijsr.net/get_abstract.php?paper_id=ART20162607, Volume 5 Issue 10, October 2016, 87 - 89
How to Share this Article?
Similar Articles with Keyword 'Threshold'
Solvency and Reinsurance Treaty of an Automobile Portfolio: Case of Sub-Saharian Countries
Bukanga Maheshe Crispin, Mabela Makengo Matendo Rostin
Modelling the Dynamics and Transmission of Dengue Fever by the Vector, Mosquito Aedes aegypti in Tropical Africa Region
Christiana C. Nyarko, Peter K. Nyarko, Albert Buabeng, Monica V. Crankson