Dynamic Asymmetric Leverage in Stochastic Volatility Models

DOI10.1080/07474930500243035zbMATH Open1075.62092OpenAlexW2118376153MaRDI QIDQ5697355FDOQ5697355

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

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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)

Cites Work

• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• On a measure of lack of fit in time series models
• 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
• AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY
• Testing for serial correlation in the presence of stochastic volatility
• Testing for serial correlation in the presence of dynamic heteroscedasticity

Cited In (18)

• On filtering and estimation of a threshold stochastic volatility model
• Non‐trading day effects in asymmetric conditional and stochastic volatility models
• Title not available (Why is that?)
• A multivariate threshold stochastic volatility model
• Asymmetric Multivariate Stochastic Volatility
• Estimating overnight volatility of asset returns by using the generalized dynamic factor model approach
• On asymmetric generalised t stochastic volatility models
• Multivariate Stochastic Volatility: A Review
• A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries
• Improving the asymmetric stochastic volatility model with ex-post volatility: the identification of the asymmetry
• Multivariate Stochastic Volatility Models with Correlated Errors
• Asymmetry in stochastic volatility models: threshold or correlation?
• Data cloning estimation for asymmetric stochastic volatility models
• A triple-threshold leverage stochastic volatility model
• On leverage in a stochastic volatility model
• Threshold variable selection of asymmetric stochastic volatility models
• Multivariate stochastic volatility, leverage and news impact surfaces
• Portfolio single index (PSI) multivariate conditional and stochastic volatility models

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