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A semiparametric stochastic volatility model

Citations

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Cited by:

  1. Kenichiro McAlinn & Asahi Ushio & Teruo Nakatsuma, 2020. "Volatility forecasts using stochastic volatility models with nonlinear leverage effects," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(2), pages 143-154, March.
  2. M. Angeles Carnero & Ana Pérez & Esther Ruiz, 2016. "Identification of asymmetric conditional heteroscedasticity in the presence of outliers," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 7(1), pages 179-201, March.
  3. Degiannakis, Stavros & Filis, George & Hassani, Hossein, 2015. "Forecasting implied volatility indices worldwide: A new approach," MPRA Paper 72084, University Library of Munich, Germany.
  4. Isabel Casas & Helena Veiga, 2021. "Exploring Option Pricing and Hedging via Volatility Asymmetry," Computational Economics, Springer;Society for Computational Economics, vol. 57(4), pages 1015-1039, April.
  5. Bretó, Carles, 2014. "On idiosyncratic stochasticity of financial leverage effects," Statistics & Probability Letters, Elsevier, vol. 91(C), pages 20-26.
  6. Gong, Xu & Wen, Fenghua & Xia, X.H. & Huang, Jianbai & Pan, Bin, 2017. "Investigating the risk-return trade-off for crude oil futures using high-frequency data," Applied Energy, Elsevier, vol. 196(C), pages 152-161.
  7. repec:cte:wsrepe:36569 is not listed on IDEAS
  8. P. de Zea Bermudez & J. Miguel Marín & Helena Veiga, 2020. "Data cloning estimation for asymmetric stochastic volatility models," Econometric Reviews, Taylor & Francis Journals, vol. 39(10), pages 1057-1074, November.
  9. Lin, Qian & Sun, Xianming & Zhou, Chao, 2020. "Horizon-unbiased investment with ambiguity," Journal of Economic Dynamics and Control, Elsevier, vol. 114(C).
  10. Li, Chenxing & Zhang, Zehua & Zhao, Ran, 2024. "Volatility or higher moments: Which is more important in return density forecasts of stochastic volatility model?," Finance Research Letters, Elsevier, vol. 67(PB).
  11. Mao, Xiuping & Czellar, Veronika & Ruiz, Esther & Veiga, Helena, 2020. "Asymmetric stochastic volatility models: Properties and particle filter-based simulated maximum likelihood estimation," Econometrics and Statistics, Elsevier, vol. 13(C), pages 84-105.
  12. Kleppe, Tore Selland & Yu, Jun & Skaug, Hans J., 2014. "Maximum likelihood estimation of partially observed diffusion models," Journal of Econometrics, Elsevier, vol. 180(1), pages 73-80.
  13. Heejoon Han & Eunhee Lee, 2020. "Triple Regime Stochastic Volatility Model with Threshold and Leverage Effects," Korean Economic Review, Korean Economic Association, vol. 36, pages 481-509.
  14. Carnero M. Angeles & Pérez Ana, 2021. "Outliers and misleading leverage effect in asymmetric GARCH-type models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 25(1), pages 1-19, February.
  15. Imma Valentina Curato & Simona Sanfelici, 2019. "Stochastic leverage effect in high-frequency data: a Fourier based analysis," Papers 1910.06660, arXiv.org, revised Mar 2021.
  16. Gonzalez-Perez, Maria T., 2015. "Model-free volatility indexes in the financial literature: A review," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 141-159.
  17. Bibinger, Markus & Neely, Christopher & Winkelmann, Lars, 2019. "Estimation of the discontinuous leverage effect: Evidence from the NASDAQ order book," Journal of Econometrics, Elsevier, vol. 209(2), pages 158-184.
  18. Li, Yong & Zeng, Tao & Yu, Jun, 2014. "A new approach to Bayesian hypothesis testing," Journal of Econometrics, Elsevier, vol. 178(P3), pages 602-612.
  19. Wu, Xinyu & Wang, Xiaona, 2020. "Forecasting volatility using realized stochastic volatility model with time-varying leverage effect," Finance Research Letters, Elsevier, vol. 34(C).
  20. Mao, Xiuping & Ruiz, Esther & Veiga, Helena, 2017. "Threshold stochastic volatility: Properties and forecasting," International Journal of Forecasting, Elsevier, vol. 33(4), pages 1105-1123.
  21. Hoang Nguyen & Trong-Nghia Nguyen & Minh-Ngoc Tran, 2023. "A dynamic leverage stochastic volatility model," Applied Economics Letters, Taylor & Francis Journals, vol. 30(1), pages 97-102, January.
  22. Chon, Sora & Kim, Jaeho, 2021. "Does the Financial Leverage Effect Depend on Volatility Regimes?," Finance Research Letters, Elsevier, vol. 39(C).
  23. repec:cte:wsrepe:ws131110 is not listed on IDEAS
  24. Kim, Jaeho, 2015. "Bayesian Inference in a Non-linear/Non-Gaussian Switching State Space Model: Regime-dependent Leverage Effect in the U.S. Stock Market," MPRA Paper 67153, University Library of Munich, Germany.
  25. Bandi, F.M. & Renò, R., 2016. "Price and volatility co-jumps," Journal of Financial Economics, Elsevier, vol. 119(1), pages 107-146.
  26. Degiannakis, Stavros & Filis, George & Hassani, Hossein, 2018. "Forecasting global stock market implied volatility indices," Journal of Empirical Finance, Elsevier, vol. 46(C), pages 111-129.
  27. repec:cte:wsrepe:ws142618 is not listed on IDEAS
  28. Qian Lin & Xianming Sun & Chao Zhou, 2019. "Horizon-unbiased Investment with Ambiguity," Papers 1904.09379, arXiv.org.
  29. Wang, Nianling & Lou, Zhusheng, 2023. "Sequential Bayesian analysis for semiparametric stochastic volatility model with applications," Economic Modelling, Elsevier, vol. 123(C).
  30. Tan, Zhengxun & Xiao, Binuo & Huang, Yilong & Zhou, Li, 2021. "Value at risk and return in Chinese and the US stock markets: Double long memory and fractional cointegration," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).
  31. Carles Bret'o, 2013. "On idiosyncratic stochasticity of financial leverage effects," Papers 1312.5496, arXiv.org.
  32. Curato, Imma Valentina & Sanfelici, Simona, 2022. "Stochastic leverage effect in high-frequency data: a Fourier based analysis," Econometrics and Statistics, Elsevier, vol. 23(C), pages 53-82.
  33. Vo, Minh & Cohen, Michael & Boulter, Terry, 2015. "Asymmetric risk and return: Evidence from the Australian Stock Exchange," Pacific-Basin Finance Journal, Elsevier, vol. 35(PB), pages 558-573.
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