Volatility Modeling by Asymmetrical Quadratic Effect with Diminishing Marginal Impact
Author:
Publisher
Springer Science and Business Media LLC
Subject
Computer Science Applications,Economics, Econometrics and Finance (miscellaneous)
Link
http://link.springer.com/content/pdf/10.1007/s10614-011-9254-2.pdf
Reference37 articles.
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3. Bakshi G., Ju N., Ou-Yang H. (2006) Estimation of continuous-time models with an application to equity volatility dynamics. Journal of Financial Economics 82: 227–249
4. Bauwens L., Laurent S., Rombouts J. (2006) Multivariate GARCH models: A survey. Journal of Applied Econometrics 21: 79–109
5. Bekaert G., Wu G. (2000) Asymmetric volatility and risk in equity markets. Review of Financial Studies 13: 1–42
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