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China | Mathematics | Volume 5 Issue 10, October 2016 | Pages: 87 - 89
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
How to Cite?: Yao Meng, "Threshold Leverage Stochastic Volatility Model with Jump", Volume 5 Issue 10, October 2016, International Journal of Science and Research (IJSR), Pages: 87-89, https://www.ijsr.net/getabstract.php?paperid=ART20162607, DOI: https://dx.doi.org/10.21275/ART20162607