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A multivariate threshold stochastic volatility model

Mike K P So1, C Y Choi1

  • 1Department of Information and Systems Management, The Hong Kong University of Science and Technology, Hong Kong.

Mathematics and Computers in Simulation
|April 15, 2020
PubMed

Keywords:
Dynamic correlationFinanceStochastic volatilityThreshold nonlinearityVolatility asymmetry

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