The so-called leverage hypothesis is that negative shocks to prices/ returns affect volatility more than equal positive … a general parametric or semiparametric model to conditional volatility and then testing the implied restrictions on … parameters or curves. We propose an alternative way of testing this hypothesis using realised volatility as an alternative direct …

We investigate a model in which we connect slowly time varying unconditional long-run volatility with short …-run conditional volatility whose representation is given as a semi-strong GARCH (1,1) process with heavy tailed errors. We focus on … robust estimation of both long-run and short-run volatilities. Our estimation is semiparametric since the long-run volatility …

A two-step estimation method of stochastic volatility models is proposed. In the first step, we nonparametrically … estimate the (unobserved) instantaneous volatility process. In the second step, standard estimation methods for fully observed … diffusion processes are employed, but with the filtered/estimated volatility process replacing the latent process. Our …

The so-called leverage hypothesis is that negative shocks to prices/returns affect volatility more than equal positive … general parametric or semiparametric model to conditional volatility and then testing the implied restrictions on parameters … or curves. We propose an alternative way of testing this hypothesis using realized volatility as an alternative direct …