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Alternative Asymmetric Stochastic Volatility Models

Asai, Manabu; McAleer, Michael - 2009

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 leverage and size effects. The model is a...

Persistent link: https://www.econbiz.de/10014204500

Asymmetry and Leverage in Realized Volatility

Asai, Manabu - 2009

A wide variety of conditional and stochastic variance models has been used to estimate latent volatility (or risk). In …

Persistent link: https://www.econbiz.de/10013156686

Dynamic Conditional Correlations for Asymmetric Processes

Asai, Manabu - 2009

The paper develops two Dynamic Conditional Correlation (DCC) models, namely the Wishart DCC (WDCC) model and the Matrix-Exponential Conditional Correlation (MECC) model. The paper applies the WDCC approach to the exponential GARCH (EGARCH) and GJR models to propose asymmetric DCC models. We use...

Persistent link: https://www.econbiz.de/10013156687

Information sharing, bank penetration and tax evasion in emerging markets

Duc Hong Vo; Nguyen, Ha; Tan Manh Vo; McAleer, Michael - In: Risks : open access journal 8 (2020) 2/38, pp. 1-16

Tax evasion, which is typically considered an illegal activity, is a critical problem and is considered a barrier to economic growth. A review of the literature shows that tax and social security contributions, regulations, public sector services, the quality of institutions and tax compliance,...

Persistent link: https://www.econbiz.de/10012204448

Modelling the riskiness in country risk ratings

Hoti, Suhejla (contributor); McAleer, Michael (contributor) - 2005

Introduction / Michael McAleer -- Assessment of risk ratings and risk returns for 120 representative countries … / Michael McAleer -- Conditional volatility models for risk ratings and risk returns / Michael McAleer -- Univariate and … multivariate estimates of symmetric and asymmetric conditional volatilities and conditional correlations for risk returns / Michael …

Persistent link: https://www.econbiz.de/10012049748

Structure and asymptotic theory for multivariate asymmetric conditional volatility

McAleer, Michael; Hoti, Suhejla; Chan, Felix - In: Econometric reviews 28 (2009) 5, pp. 422-440

Persistent link: https://www.econbiz.de/10003873066

Special section: advances in financial risk management and economic policy uncertainty

Hammoudeh, Shawkat (ed.); McAleer, Michael (ed.) - 2015

Persistent link: https://www.econbiz.de/10011571814