Asai, Manabu; McAleer, Michael - Center for Advanced Research in Finance, Faculty of … - 2009
the innovations in returns and volatility. In this paper, we propose a new asymmetric stochastic volatility model, based … between the innovations in returns and volatility. The new model is estimated by the efficient importance sampling method of … nsignificant, favoring the negative correlation between the innovations in returns and volatility. We also consider standardized t …