Improving the asymmetric stochastic volatility model with ex-post volatility : the identification of the asymmetry
Zehua Zhang and Ran Zhao
| Year of publication: |
2023
|
|---|---|
| Authors: | Zhang, Zehua ; Zhao, Ran |
| Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 23.2023, 1, p. 35-51
|
| Subject: | Asymmetric stochastic volatility | Bayesian MCMC | Density forecasting | Leverage effect | Realized volatility measures | Time-varying asymmetry | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | ARCH-Modell | ARCH model | Prognoseverfahren | Forecasting model | Kapitaleinkommen | Capital income | Theorie | Theory | Schätzung | Estimation | Bayes-Statistik | Bayesian inference | Monte-Carlo-Simulation | Monte Carlo simulation | Statistische Verteilung | Statistical distribution | Markov-Kette | Markov chain |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2022.2140700 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013490951