Despite the growing interest in realized stochastic volatility models, their estimation techniques, such as simulated … maximum likelihood (SML), are computationally intensive. Based on the realized volatility equation, this study demonstrates … quasi-likelihood ratio tests favored the two-factor realized asymmetric stochastic volatility model with the standardized t …

volatility in selected developed and emerging markets between the 2008 financial crisis and the 2019 worldwide pandemic. In this …

of long-term stock market volatility. When long-term volatility is high, stock returns are more sensitive to news, and …-linear present value framework with a two-component volatility model for the conditional variance of cash flow news and allowing for … volatility feedback. In our model, innovations to the long-term volatility component are the most important driver of discount …

It is well known that the volatility spillover increases when a large economic shock occurs, and then the volatility … spillover pattern in the market changes. Accordingly, many papers note that clarifying the time-varying pattern of volatility … contagion across various industrial sectors, investigates portfolio strategies based on the volatility spillovers, and aims to …