In this paper, we derive the statistical properties of a general family of Stochastic Volatility (SV) models with leverage effect which capture the dynamic evolution of asymmetric volatility in financial returns. We provide analytical expressions of moments and autocorrelations of...

We propose a multi-level dynamic factor model to represent the commonalities in the hourly evolution of realized volatilities of several exchange rates. The model assumes a global factor active during the twenty-four hours of the day, plus four intermittent factors, associated with markets...

The identification of asymmetric conditional heteroscedasticity is often based on sample cross-correlations between past and squared observations. In this paper we analyse the effects of outliers on these cross-correlations and, consequently, on the identification of asymmetric volatilities.We...