Open AccessAsymmetric Volatility and Dynamic Asset Allocation
Author(s) -
Meng-Sung Hsieh
Publication year - 2016
Publication title -
accounting and finance research
Language(s) - English
Resource type - Journals
eISSN - 1927-5994
pISSN - 1927-5986
DOI - 10.5430/afr.v5n2p126
Subject(s) - volatility (finance) , economics , stochastic volatility , leverage effect , leverage (statistics) , volatility swap , volatility smile , volatility risk premium , econometrics , implied volatility , monetary economics , computer science , autoregressive conditional heteroskedasticity , machine learning