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Robust general equilibrium under stochastic volatility model

โœ Scribed by Weidong Xu; Chongfeng Wu; Hongyi Li

Book ID
116494869
Publisher
Elsevier Science
Year
2010
Tongue
English
Weight
210 KB
Volume
7
Category
Article
ISSN
1544-6123

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Examining realized volatility regimes un
Examining realized volatility regimes under a threshold stochastic volatility model
โœ Dinghai Xu ๐Ÿ“‚ Article ๐Ÿ“… 2012 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 670 KB

## ABSTRACT This paper examines the realized volatility regimes under a threshold stochastic volatility (SV) model framework. Due to the availability of the volatility proxy, the estimation of the models' parameters can be easily implemented via standard maximum likelihood estimation (MLE) rather t