The paper considers various extended asymmetric multivariate conditional volatility models, and derives appropriate … autoregressive process, for which we show the equivalent representation for the asymmetric multivariate conditional volatility model … asymmetric long memory volatility model, and discuss the associated asymptotic properties. …

The paper develops a novel realized stochastic volatility model of asset returns and realized volatility that … incorporates general asymmetry and long memory (hereafter the RSV-GALM model). The contribution of the paper ties in with Robert … effects from returns to future volatility. This paper discusses asymptotic results of a Whittle likelihood estimator for the …

While the stochastic volatility (SV) generalization has been shown to improvethe explanatory power compared to the … then investigate the respectiveeffect of stochastic interest rate, systematic volatility and idiosyncraticvolatility on … thesystematc volatility of the consumption process, our estimation results suggestthat the short-term interest rate fails to be a …

This paper applies the Hafner and Herwartz (2006) (hereafter HH) approach to the analysis of multivariate GARCH models … using volatility impulse response analysis. The data set features ten years of daily returns series for the New York Stock … independent shocks on volatility through time, while avoiding typical orthogonalization and ordering problems. Volatility impulse …

in the daily retail price for gasoline (taxes excluded) for the period 1996-2004 taking care of volatility clustering by … estimating an EGARCH model. It turns out the volatility process is asymmetrical: an unexpected increase in the producer price has … amount asymmetry. However, there is a faster reaction to upward changes in spot prices than to downward changes in spot …

One of the most popular univariate asymmetric conditional volatility models is the exponential GARCH (or EGARCH …) specification. In addition to asymmetry, which captures the different effects on conditional volatility of positive and negative … subsequent shocks to volatility. However, there are as yet no statistical properties available for the (quasi-) maximum …