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Statistical Properties of Two Asymmetric Stochastic Volatility in Mean Models

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  • Antonis Demos

    (www.aueb.gr/users/demos)

Abstract

Here we investigate the statistical properties of two normal asymmetric SV models with possibly time varying risk premia. In fact, we investigate two popular autoregressive stochastic volatility specifications. These, although they seem very similar, it turns out, that they possess quite different statistical properties. The derived properties can be employed to develop tests or to check stationarity of various orders, something important for the asymptotic properties of various estimators.

Suggested Citation

  • Antonis Demos, 2023. "Statistical Properties of Two Asymmetric Stochastic Volatility in Mean Models," DEOS Working Papers 2303, Athens University of Economics and Business.
    • Handle: RePEc:aue:wpaper:2303
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    1. Antonis Demos, 2023. "Estimation of Asymmetric Stochastic Volatility in Mean Models," DEOS Working Papers 2309, Athens University of Economics and Business.

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