Dynamic Asymmetric Leverage in Stochastic Volatility Models

DOI10.1080/07474930500243035MaRDI QIDQ5697355zbMATHOpenAlexFDO

Authors Manabu Asai, Michael McAleer

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 volatilityMonte Carlo likelihoodthreshold effectsasymmetric effects

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• A triple-threshold leverage stochastic volatility model
• Asymmetric Multivariate Stochastic Volatility
• Comparison of asymmetric stochastic volatility models under different correlation structures
• On generalised asymmetric stochastic volatility models
• Asymmetry in stochastic volatility models: threshold or correlation?

Cites work

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

Cited in

(20)

• Portfolio single index (PSI) multivariate conditional and stochastic volatility models
• Threshold variable selection of asymmetric stochastic volatility models
• A triple-threshold leverage stochastic volatility model
• A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data
• Multivariate stochastic volatility, leverage and news impact surfaces
• On leverage in a stochastic volatility model
• Improving the asymmetric stochastic volatility model with ex-post volatility: the identification of the asymmetry
• Estimating overnight volatility of asset returns by using the generalized dynamic factor model approach
• scientific article; zbMATH DE number 1865385 (Why is no real title available?)
• Comparison of asymmetric stochastic volatility models under different correlation structures
• On asymmetric generalised t stochastic volatility models
• Multivariate Stochastic Volatility Models with Correlated Errors
• On filtering and estimation of a threshold stochastic volatility model
• Asymmetric Multivariate Stochastic Volatility
• Multivariate Stochastic Volatility: A Review
• Data cloning estimation for asymmetric stochastic volatility models
• A multivariate threshold stochastic volatility model
• Non‐trading day effects in asymmetric conditional and stochastic volatility models
• A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries
• Asymmetry in stochastic volatility models: threshold or correlation?

This page was built for publication: Dynamic Asymmetric Leverage in Stochastic Volatility Models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5697355)