Dynamic Asymmetric Leverage in Stochastic Volatility Models

DOI10.1080/07474930500243035zbMath1075.62092OpenAlexW2118376153MaRDI QIDQ5697355

Michael McAleer, Manabu Asai

Publication date: 17 October 2005

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474930500243035

zbMATH Keywords

stochastic volatilitythreshold effectsMonte Carlo likelihoodasymmetric effects

Mathematics Subject Classification ID

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Cites Work

• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• Testing for serial correlation in the presence of stochastic volatility
• Estimation of stochastic volatility models via Monte Carlo maximum likelihood
• Stochastic volatility in asset prices. Estimation with simulated maximum likelihood
• On the application of robust, regression-based diagnostics to models of conditional means and conditional variances
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• On a measure of lack of fit in time series models
• Testing for serial correlation in the presence of dynamic heteroscedasticity
• AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY

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