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On leverage in a stochastic volatility model

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Yu, Jun

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File URL: http://www.sciencedirect.com/science/article/B6VC0-4DGDC04-2/2/c6ed092bb83fcf1bb96d4b724cc8139d
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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 127 (2005)
Issue (Month): 2 (August)
Pages: 165-178
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Handle: RePEc:eee:econom:v:127:y:2005:i:2:p:165-178

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  1. Federico M. Bandi & Roberto Reno, 2009. "Nonparametric Stochastic Volatility," Global COE Hi-Stat Discussion Paper Series gd08-035, Institute of Economic Research, Hitotsubashi University. [Downloadable!]
  2. Adam Clements & Stan Hurn & Scott White, 2006. "Estimating Stochastic Volatility Models Using a Discrete Non-linear Filter. Working paper #3," NCER Working Paper Series 3, National Centre for Econometric Research. [Downloadable!]
  3. Manabu Asai & Michael McAleer, 2005. "Asymmetric Multivariate Stochastic Volatility," DEA Working Papers 12, Universitat de les Illes Balears, Departament d'Economía Aplicada. [Downloadable!]
  4. Bent Jesper Christensen & Morten Ørregaard Nielsen, 2007. "The Effect of Long Memory in Volatility on Stock Market Fluctuations," CREATES Research Papers 2007-03, School of Economics and Management, University of Aarhus. [Downloadable!]
    Other versions:
  5. Mark J Jensen & John M Maheu, 2008. "Bayesian semiparametric stochastic volatility modeling," Working Papers tecipa-314, University of Toronto, Department of Economics. [Downloadable!]
    Other versions:
  6. Yasuhiro Omori & Siddhartha Chib & Neil Shephard & Jouchi Nakajima, 2004. "Stochastic Volatility with Leverage: Fast Likelihood Inference," CIRJE F-Series CIRJE-F-297, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
    Other versions:
  7. Dinghai Xu, 2009. "The Applications of Mixtures of Normal Distributions in Empirical Finance: A Selected Survey," Working Papers 0904, University of Waterloo, Department of Economics, revised Sep 2009. [Downloadable!]
  8. Esther Ruiz & Helena Veiga, 2006. "Modelling Long-Memory Volatilities With Leverage Effect: Almsv Versus Fiegarch," Statistics and Econometrics Working Papers ws066016, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
    Other versions:
  9. Neil Shephard, 2005. "Stochastic Volatility," Economics Papers 2005-W17, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
  10. Almut E. D. Veraart & Luitgard A. M. Veraart, 2009. "Stochastic volatility and stochastic leverage," CREATES Research Papers 2009-20, School of Economics and Management, University of Aarhus. [Downloadable!]
  11. Almut E. D. Veraart, 2008. "Impact of time–inhomogeneous jumps and leverage type effects on returns and realised variances," CREATES Research Papers 2008-57, School of Economics and Management, University of Aarhus. [Downloadable!]
  12. Dinghai Xu & John Knight & Tony S. Wirjanto, 2008. "Asymmetric Stochastic Conditional Duration Model --A Mixture of Normals Approach"," Working Papers 08007, University of Waterloo, Department of Economics. [Downloadable!]
  13. Siddhartha Chib & Yasuhiro Omori & Manabu Asai, 2007. "Multivariate stochastic volatility," CIRJE F-Series CIRJE-F-488, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
  14. Ole E. Barndorff-Nielsen & Almut E. D. Veraart, 2009. "Stochastic volatility of volatility in continuous time," CREATES Research Papers 2009-25, School of Economics and Management, University of Aarhus. [Downloadable!]
  15. Fulvia Focker & Umberto Triacca, 2006. "A new proxy of the average volatility of a basket of returns: A Monte Carlo study," Economics Bulletin, Economics Bulletin, vol. 3(15), pages 1-14. [Downloadable!]
  16. Bent Jesper Christensen & Morten Ørregaard Nielsen & Jie Zhu, 2007. "Long Memory in Stock Market Volatility and the Volatility-in-Mean Effect: The FIEGARCH-M Model," CREATES Research Papers 2007-10, School of Economics and Management, University of Aarhus. [Downloadable!]
    Other versions:
  17. Borus Jungbacker & Siem Jan Koopman, 2005. "On Importance Sampling for State Space Models," Tinbergen Institute Discussion Papers 05-117/4, Tinbergen Institute. [Downloadable!]
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