Asai, Manabu; McAleer, Michael - Faculteit der Economische Wetenschappen, Erasmus … - 2010
The stochastic volatility model usually incorporates asymmetric effects by introducing the negative correlation between …). We consider categories for asymmetric effects, which describes the difference among the asymmetric effect of the EGARCH …. Four financial time series are used to estimate the alternative asymmetric SV models, with empirical asymmetric effects …