Showing 1 - 10 of 15
In recent years fractionally differenced processes have received a great deal of attention due to its flexibility in financial applications with long memory. This paper considers a class of models generated by Gegenbauer polynomials, incorporating the long memory in stochastic volatility (SV)...
Persistent link: https://www.econbiz.de/10011526121
The stochastic volatility model usually incorporates asymmetric effects by introducing the negative correlation between the innovations in returns and volatility. In this paper, we propose a new asymmetric stochastic volatility model, based on the leverage and size effects. The model is a...
Persistent link: https://www.econbiz.de/10008727325
In the class of stochastic volatility (SV) models, leverage effects are typically specified through the direct correlation between the innovations in both returns and volatility, resulting in the dynamic leverage (DL) model. Recently, two asymmetric SV models based on threshold effects have been...
Persistent link: https://www.econbiz.de/10009228500
The stochastic volatility model usually incorporates asymmetric effects by introducing the negative correlation between the innovations in returns and volatility. In this paper, we propose a new asymmetric stochastic volatility model, based on the leverage and size effects. The model is a...
Persistent link: https://www.econbiz.de/10008725779
In recent years fractionally differenced processes have received a great deal of attention due to its flexibility in financial applications with long memory. This paper considers a class of models generated by Gegenbauer polynomials, incorporating the long memory in stochastic volatility (SV)...
Persistent link: https://www.econbiz.de/10011483824
Persistent link: https://www.econbiz.de/10011500273
Persistent link: https://www.econbiz.de/10011897674
In recent years fractionally differenced processes have received a great deal of attention due to their flexibility in fi nancial applications with long memory. In this paper, we develop a new realized stochastic volatility (RSV) model with general Gegenbauer long memory (GGLM), which...
Persistent link: https://www.econbiz.de/10011772999
Persistent link: https://www.econbiz.de/10011659228
Persistent link: https://www.econbiz.de/10011742720