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

DOI10.1080/14697688.2022.2140700zbMath1518.91269OpenAlexW4308454129MaRDI QIDQ6158371

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 effect density forecasting realized volatility measures asymmetric stochastic volatility Bayesian MCMC time-varying asymmetry

Mathematics Subject Classification ID

Financial markets (91G15)

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