Improving the asymmetric stochastic volatility model with ex-post volatility: the identification of the asymmetry

DOI10.1080/14697688.2022.2140700zbMath1518.91269OpenAlexW4308454129MaRDI QIDQ6158371

Zehua Zhang, Ran Zhao

Publication date: 20 June 2023

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2022.2140700

zbMATH Keywords

leverage effectdensity forecastingrealized volatility measuresasymmetric stochastic volatilityBayesian MCMCtime-varying asymmetry

Mathematics Subject Classification ID

Financial markets (91G15)

Cites Work

• Unnamed Item
• Understanding predictive information criteria for Bayesian models
• On leverage in a stochastic volatility model
• A discrete-time model for daily S\&P500 returns and realized variations: jumps and leverage effects
• Do high-frequency measures of volatility improve forecasts of return distributions?
• Ultra high frequency volatility estimation with dependent microstructure noise
• Bayesian analysis of stochastic volatility models with fat-tails and correlated errors
• Estimating stochastic volatility models using daily returns and realized volatility simultaneously
• Volume, volatility, and leverage: A dynamic analysis
• Realized stochastic volatility with leverage and long memory
• Extended stochastic volatility models incorporating realised measures
• Generalized autoregressive conditional heteroscedasticity
• Realized stochastic volatility with general asymmetry and long memory
• Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture
• Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
• Microstructure Noise, Realized Variance, and Optimal Sampling
• Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
• Multi-Scale Jump and Volatility Analysis for High-Frequency Financial Data
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
• Bayes Factors
• Comparison of asymmetric stochastic volatility models under different correlation structures

This page was built for publication: Improving the asymmetric stochastic volatility model with ex-post volatility: the identification of the asymmetry