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Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing

Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing
Digital文書・図像類
Asai, Manabu, McAleer, MichaelInstitute of Economic Research, Kyoto University2013-01KIER Discussion Paper840
Available onlineOther Libraries in Japan
  • Subject Heading...tic Volatility Wishart Process Leverage Effects Feedback Eff...

Dynamic Conditional Correlations for Asymmetric Processes

Dynamic Conditional Correlations for Asymmetric Processes
Digital文書・図像類
Asai, Manabu, McAleer, MichaelInstitute of Economic Research, Kyoto University2010-12KIER Discussion Paper747
Available onlineOther Libraries in Japan
  • Subject Heading...onential model Wishart process EGARCH GJR asymmetric BEKK he...

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