Modeling Financial Time Series Based on a Market Microstructure Model with Leverage Effect
The basic market microstructure model specifies that the price/return innovation and the volatility innovation are independent Gaussian white noise processes. However, the financial leverage effect has been found to be statistically significant in many financial time series. In this paper, a novel m...
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| Autors principals: | , , |
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| Format: | Artigo |
| Idioma: | Inglês |
| Publicat: |
Wiley
2016-01-01
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| Col·lecció: | Discrete Dynamics in Nature and Society |
| Accés en línia: | http://dx.doi.org/10.1155/2016/1580941 |
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