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Asymmetry and long memory in volatility modelling

Asai, Manabu; McAleer, Michael; Medeiros, Marcelo C. - 2010

Persistent link: https://www.econbiz.de/10008664039

Asymmetry and long memory in volatility modeling

Asai, Manabu; McAleer, Michael; Medeiros, Marcelo C. - In: Journal of financial econometrics : official journal of … 10 (2012) 3, pp. 495-512

Persistent link: https://www.econbiz.de/10009571512

Asymmetry and leverage in realized volatility

Asai, Manabu (contributor); McAleer, Michael (contributor); … - 2008

Persistent link: https://www.econbiz.de/10003780794

Asymmetric multivariate stochastic volatility

Asai, Manabu; McAleer, Michael - In: Econometric reviews 25 (2006) 2/3, pp. 453-473

Persistent link: https://www.econbiz.de/10003355815

Non-trading day effects in asymmetric conditional and stochastic volatility models

Asai, Manabu; McAleer, Michael - In: The econometrics journal 10 (2007) 1, pp. 113-123

Persistent link: https://www.econbiz.de/10003451750

Alternative asymmetric stochastic volatility models

Asai, Manabu; McAleer, Michael - 2010

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 on the leverage and size effects. The model is a...