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 |
| Subject: | Asymmetric stochastic volatility | Bayesian MCMC | Density forecasting | Leverage effect | Realized volatility measures | Time-varying asymmetry | Volatilität | Volatility | ARCH-Modell | ARCH model | Stochastischer Prozess | Stochastic process | Monte-Carlo-Simulation | Monte Carlo simulation | Schätzung | Estimation | Prognoseverfahren | Forecasting model | Theorie | Theory | Markov-Kette | Markov chain | Kapitaleinkommen | Capital income | Zeitreihenanalyse | Time series analysis |
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