Search Results - subject:"Asymmetric stochastic volatility"

Improving the asymmetric stochastic volatility model with ex-post volatility : the identification of the asymmetry

Zhang, Zehua; Zhao, Ran - In: Quantitative finance 23 (2023) 1, pp. 35-51

Persistent link: https://www.econbiz.de/10013490951

Is Bitcoin really a currency? : a viewpoint of a stochastic volatility model

Kunimoto, Noriyuki; Kakamu, Kazuhiko - In: Applied economics 54 (2022) 57, pp. 6536-6550

Persistent link: https://www.econbiz.de/10013494160

A stochastic volatility model with a general leverage specification

Catania, Leopoldo - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 2, pp. 678-689

Persistent link: https://www.econbiz.de/10013534044

Score driven asymmetric stochastic volatility models

Mao, Xiuping; Ruiz, Esther; Veiga, Helena - Departamento de Estadistica, Universidad Carlos III de … - 2014

In this paper we propose a new class of asymmetric stochastic volatility (SV) models, which specifies the volatility as …

Persistent link: https://www.econbiz.de/10010940765

The semiparametric asymmetric stochastic volatility model with time-varying parameters : the case of US inflation

Dimitrakopoulos, Stefanos - In: Economics letters 155 (2017), pp. 14-18

Persistent link: https://www.econbiz.de/10011821483

Asymmetric stochastic volatility in Central and Eastern European stock markets

Hepsag, Aycan - In: Theoretical and applied economics : GAER review 23 (2016) 2, pp. 135-144

Persistent link: https://www.econbiz.de/10011564448

On geometric ergodicity of skewed—SVCHARME models

Rydlewski, Jerzy P.; Snarska, Małgorzata - In: Statistics & Probability Letters 84 (2014) C, pp. 192-197

Markov Chain Monte Carlo is repeatedly used to analyze the properties of intractable distributions in a convenient way. In this paper we derive conditions for geometric ergodicity of a general class of nonparametric stochastic volatility models with skewness driven by the hidden Markov Chain...

Persistent link: https://www.econbiz.de/10011039898

Structural stability tests with unknown breakpoint for the efficient method of moments with application to stochastic volatility models

Sluis, Pieter J. van der - 1998

tests are applied toan asymmetric stochastic volatility model for a series of daily observations of theS&P 500 index over …

Persistent link: https://www.econbiz.de/10011284082