The stochastic volatility model usually incorporates asymmetric effects by introducing the negative correlation between … the innovations in returns and volatility. In this paper, we propose a new asymmetric stochastic volatility model, based … between the innovations in returns and volatility. The new model is estimated by the efficient importance sampling method of …

The stochastic volatility model usually incorporates asymmetric effects by introducing the negative correlation between … the innovations in returns and volatility. In this paper, we propose a new asymmetric stochastic volatility model, based … between the innovations in returns and volatility. The new model is estimated by the efficient importance sampling method of …

In the class of stochastic volatility (SV) models, leverage effects are typically specified through the direct … correlation between the innovations in both returns and volatility, resulting in the dynamic leverage (DL) model. Recently, two …

The stochastic volatility model usually incorporates asymmetric effects by introducing the negative correlation between … the innovations in returns and volatility. In this paper, we propose a new asymmetric stochastic volatility model, based … between the innovations in returns and volatility. The new model is estimated by the efficient importance sampling method of …

For forecasting volatility of futures returns, the paper proposes an indirect method based on the relationship between … futures and the underlying asset for the returns and time-varying volatility. For volatility forecasting, the paper considers … the stochastic volatility model with asymmetry and long memory, using high frequency data for the underlying asset …

For forecasting volatility of futures returns, the paper proposes an indirect method based on the relationship between … futures and the underlying asset for the returns and time-varying volatility. For volatility forecasting, the paper considers … the stochastic volatility model with asymmetry and long memory, using high frequency data for the underlying asset …

For the purpose of developing alternative approach for forecasting volatility, we consider heterogeneous VAR (HVAR …