follow GARCH and stochastic volatility (SV). Under certain regularity conditions, we give asymptotic results for the …

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 paper develops a novel realized stochastic volatility model of asset returns and realized volatility that … effects from returns to future volatility. This paper discusses asymptotic results of a Whittle likelihood estimator for the … approach to obtain volatility estimates and out-of-sample forecasts. Using high frequency data for three US financial assets …

memory in stochastic volatility (SV) components in order to develop the General Long Memory SV (GLMSV) model. We examine the …

realized measure of co-volatility matrix simultaneously. The paper also considers an alternative multivariate asymmetric …