Realized stochastic volatility with general asymmetry and long memory
Manabu Asai (Faculty of Economics, Soka University, Japan), Chia-Lin Chang (Department of Applied Economics, Department of Finance,National Chung Hsing University, Taiwan), Michael McAleer (Department of Quantitative Finance, National Tsing Hua University, Taiwan and Econometric Institute, Erasmus School of Economics, Erasmus University Rotterdam, The Netherlands and Department of Quantitative Economics, Complutense University of Madrid, Spain and Institute of Advanced Sciences, Yokohama National University, Japan)
| Year of publication: |
April 2017 ; Revised: April 2017
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|---|---|
| Authors: | Asai, Manabu ; Chang, Chia-Lin ; McAleer, Michael |
| Publisher: |
[Rotterdam] : [Econometric Institute, Erasmus School of Economics] |
| Subject: | Stochastische Volatilität | Stochastic volatility | Monte-Carlo-Simulation | Monte Carlo simulation | ARCH-Modell | ARCH model | Kapitalmarktrendite | Capital market returns | USA | United States |
freely available