A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data
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- Antoine Lejay & Paolo Pigato, 2019. "A Threshold Model For Local Volatility: Evidence Of Leverage And Mean Reversion Effects On Historical Data," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(04), pages 1-24, June.
- Antoine Lejay & Paolo Pigato, 2019. "A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data," Post-Print hal-01669082, HAL.
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Cited by:
- Paolo Pigato, 2019. "Extreme at-the-money skew in a local volatility model," Finance and Stochastics, Springer, vol. 23(4), pages 827-859, October.
- Manuel L. Esquível & Nadezhda P. Krasii & Pedro P. Mota & Victoria V. Shamraeva, 2023. "Coupled Price–Volume Equity Models with Auto-Induced Regime Switching," Risks, MDPI, vol. 11(11), pages 1-20, November.
- Héctor Araya & Meryem Slaoui & Soledad Torres, 2022. "Bayesian inference for fractional Oscillating Brownian motion," Computational Statistics, Springer, vol. 37(2), pages 887-907, April.
- Antoine Lejay & Paolo Pigato, 2020. "Maximum likelihood drift estimation for a threshold diffusion," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 47(3), pages 609-637, September.
- Dingwen Zhang, 2024. "Determining the Number and Values of Thresholds for Multi-regime Threshold Ornstein–Uhlenbeck Processes," Journal of Theoretical Probability, Springer, vol. 37(4), pages 3581-3626, November.
- Andrey Itkin & Alexander Lipton & Dmitry Muravey, 2021. "Multilayer heat equations and their solutions via oscillating integral transforms," Papers 2112.00949, arXiv.org, revised Dec 2021.
- Antoine Lejay & Paolo Pigato, 2017. "Data and methods for A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data [Données et méthodes pour "A threshold model for local volatilit," Working Papers hal-01668975, HAL.
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This paper has been announced in the following NEP Reports:- NEP-ECM-2018-01-01 (Econometrics)
- NEP-ETS-2018-01-01 (Econometric Time Series)
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