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Discrete Dynamics in Nature and Society
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Discrete Dynamics in Nature and Society
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2016
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Article
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Tab 6
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Research Article
Modeling Financial Time Series Based on a Market Microstructure Model with Leverage Effect
Table 6
Estimation results of the leverage SV model for three indices.
Index
Parameter
Mean
SD
MC error
2.5 percentile
Median
97.5 percentile
Shanghai
composite
index
Shenzhen
component
index
S&P500