Open AccessA Threshold Model for Local Volatility: Evidence of Leverage and Mean Reversion Effects on Historical Data
Author(s) -
Antoine Lejay,
Paolo Pigato
Publication year - 2018
Publication title -
ssrn electronic journal
Language(s) - English
Resource type - Journals
ISSN - 1556-5068
DOI - 10.2139/ssrn.3101666
Subject(s) - mean reversion , stylized fact , econometrics , setar , volatility (finance) , leverage (statistics) , economics , autoregressive model , local volatility , threshold model , heteroscedasticity , stochastic volatility , financial economics , time series , mathematics , autoregressive integrated moving average , statistics , star model , macroeconomics
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