Markov-switching threshold stochastic volatility models with regime changes
This paper introduces a comprehensive class of models known as Markov-Switching Threshold Stochastic Volatility (MS-TSV) models, specifically designed to address asymmetry and the leverage effect observed in the volatility of financial time series. Extending the classical threshold stochastic volati...
Main Authors: | , , |
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Format: | Article |
Language: | English |
Published: |
AIMS Press
2024-01-01
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Series: | AIMS Mathematics |
Subjects: | |
Online Access: | https://www.aimspress.com/article/doi/10.3934/math.2024192?viewType=HTML |