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Alternative Asymmetric Stochastic Volatility Models

Citations

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Cited by:

  1. 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.
  2. repec:cte:wsrepe:ws142618 is not listed on IDEAS
  3. Asai, M. & McAleer, M.J., 2016. "A Multivariate Asymmetric Long Memory Conditional Volatility Model with X, Regularity and Asymptotics," Econometric Institute Research Papers EI2016-34, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  4. Bermudez, P. de Zea & Marín, J. Miguel & Rue, Håvard & Veiga, Helena, 2024. "Integrated nested Laplace approximations for threshold stochastic volatility models," Econometrics and Statistics, Elsevier, vol. 30(C), pages 15-35.
  5. 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.
  6. Hassanniakalager, Arman & Baker, Paul L. & Platanakis, Emmanouil, 2024. "A False Discovery Rate approach to optimal volatility forecasting model selection," International Journal of Forecasting, Elsevier, vol. 40(3), pages 881-902.
  7. Afonso, António & Gomes, Pedro & Taamouti, Abderrahim, 2014. "Sovereign credit ratings, market volatility, and financial gains," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 20-33.
  8. Manabu Asai & Chia-Lin Chang & Michael McAleer, 2016. "Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers," Documentos de Trabajo del ICAE 2016-15, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  9. repec:cte:wsrepe:ws131110 is not listed on IDEAS
  10. Manabu Asai & Michael McAleer & Marcelo C. Medeiros, 2012. "Asymmetry and Long Memory in Volatility Modeling," Journal of Financial Econometrics, Oxford University Press, vol. 10(3), pages 495-512, June.
  11. 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.
  12. Athanasios Tsagkanos & Konstantinos Gkillas & Christoforos Konstantatos & Christos Floros, 2021. "Does Trading Volume Drive Systemic Banks’ Stock Return Volatility? Lessons from the Greek Banking System," IJFS, MDPI, vol. 9(2), pages 1-13, April.
  13. 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.
  14. Chiu, Hsin-Yu & Chen, Ting-Fu, 2020. "Impact of volatility jumps in a mean-reverting model: Derivative pricing and empirical evidence," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
  15. Bales, Kyle & Malikane, Christopher, 2020. "The effect of credit ratings on emerging market volatility," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 65(C).
  16. Haas, Markus & Krause, Jochen & Paolella, Marc S. & Steude, Sven C., 2013. "Time-varying mixture GARCH models and asymmetric volatility," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 602-623.
  17. Zea Bermudez, Patrícia de & Rue, Havard, 2021. "Integrated nested Laplace approximations for threshold stochastic volatility models," DES - Working Papers. Statistics and Econometrics. WS 31804, Universidad Carlos III de Madrid. Departamento de Estadística.
  18. Michael McAleer, 2009. "The Ten Commandments For Optimizing Value‐At‐Risk And Daily Capital Charges," Journal of Economic Surveys, Wiley Blackwell, vol. 23(5), pages 831-849, December.
  19. Asai, M. & McAleer, M.J. & Medeiros, M.C., 2008. "Asymmetry and leverage in realized volatility," Econometric Institute Research Papers EI 2008-31, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  20. Patricia Lengua Lafosse & Cristian Bayes & Gabriel Rodríguez, 2015. "A Stochastic Volatility Model with GH Skew Student’s t-Distribution: Application to Latin-American Stock Returns," Documentos de Trabajo / Working Papers 2015-405, Departamento de Economía - Pontificia Universidad Católica del Perú.
  21. Asai, Manabu & Chang, Chia-Lin & McAleer, Michael, 2017. "Realized stochastic volatility with general asymmetry and long memory," Journal of Econometrics, Elsevier, vol. 199(2), pages 202-212.
  22. Yanhui Xi & Hui Peng & Yemei Qin, 2016. "Modeling Financial Time Series Based on a Market Microstructure Model with Leverage Effect," Discrete Dynamics in Nature and Society, Hindawi, vol. 2016, pages 1-15, February.
  23. Moawia Alghalith & Christos Floros & Konstantinos Gkillas, 2020. "Estimating Stochastic Volatility under the Assumption of Stochastic Volatility of Volatility," Risks, MDPI, vol. 8(2), pages 1-15, April.
  24. Bretó, Carles, 2014. "On idiosyncratic stochasticity of financial leverage effects," Statistics & Probability Letters, Elsevier, vol. 91(C), pages 20-26.
  25. Antonis Demos, 2023. "Statistical Properties of Two Asymmetric Stochastic Volatility in Mean Models," DEOS Working Papers 2303, Athens University of Economics and Business.
  26. Carles Bret'o, 2013. "On idiosyncratic stochasticity of financial leverage effects," Papers 1312.5496, arXiv.org.
  27. Wang, Joanna J.J., 2012. "On asymmetric generalised t stochastic volatility models," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 82(11), pages 2079-2095.
  28. Omar Abbara & Mauricio Zevallos, 2022. "Maximum Likelihood Inference for Asymmetric Stochastic Volatility Models," Econometrics, MDPI, vol. 11(1), pages 1-18, December.
  29. Asai, Manabu & Chang, Chia-Lin & McAleer, Michael, 2022. "Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers," Journal of Econometrics, Elsevier, vol. 227(1), pages 285-304.
  30. Mao, Xiuping & Ruiz, Esther & Veiga, Helena, 2017. "Threshold stochastic volatility: Properties and forecasting," International Journal of Forecasting, Elsevier, vol. 33(4), pages 1105-1123.
  31. Lengua Lafosse, Patricia & Rodríguez, Gabriel, 2018. "An empirical application of a stochastic volatility model with GH skew Student's t-distribution to the volatility of Latin-American stock returns," The Quarterly Review of Economics and Finance, Elsevier, vol. 69(C), pages 155-173.
  32. Moawia Alghalith, 2022. "Methods in Econophysics: Estimating the Probability Density and Volatility," Papers 2301.10178, arXiv.org.
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