Dynamic Asymmetric Leverage in Stochastic Volatility Models

Authors: Manabu Asai ^a; Michael McAleer ^b

Affiliations:	^a Faculty of Economics, Soka University, Tokyo, Japan
	^b School of Economics and Commerce, University of Western Australia, Perth, Australia

DOI: 10.1080/07474930500243035

Publication Frequency: 6 issues per year

Published in: journal

Econometric Reviews, Volume 24, Issue 3 July 2005 , pages 317 - 332

Subjects: Econometrics; Finance; Financial Mathematics; Statistics;

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