Louzis, Dimitrios P.; Xanthopoulos-Sisinis, Spyros; … - In: Applied Economics 44 (2012) 27, pp. 3533-3550
In this article, we account for the presence of heterogeneous leverage effects and the persistence in the volatility of stock index realized volatility. The Heterogeneous Autoregressive (HAR) Realized Volatility (RV) model is extended in order to account for asymmetric responses to negative and...