Asymmetric Smiles, Leverage Effects and Structural Parameters
نویسندگان
چکیده
منابع مشابه
The Business School for Financial Markets
The skewness in physical distributions of equity index returns and the implied volatility skew in the risk neutral measure are subjects of extensive academic research. Much attention is now being focused on models that are able to capture time-varying conditional skewness and kurtosis. For this reason normal mixture GARCH(1,1) models have become very popular in financial econometrics. We introd...
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