Mao, Xiuping; Ruiz, Esther; Veiga, Helena - Departamento de Estadistica, Universidad Carlos III de … - 2014
In this paper we propose a new class of asymmetric stochastic volatility (SV) models, which specifies the volatility as a function of the score of the distribution of returns conditional on volatilities based on the Generalized Autoregressive Score (GAS) model. Different specifications of the...