The paper investigates the impact of jumps in forecasting co-volatility, accommodating leverage effects. We modify the …

asymmetry and leverage. In this paper, we first show the relationship among conditional, stochastic, integrated and realized … in order to understand the differences and similarities in the definitions of asymmetry and leverage. We extend the new …

and negative effects of equal magnitude, EGARCH can also accommodate leverage, which is the negative correlation between …

positive and negative effects of equal magnitude, and leverage, which refers to the negative correlation between the returns …

on conditional volatility of positive and negative effects of equal magnitude, and leverage, which is the negative … between asymmetry and leverage, as well as which asymmetric models are purported to be able to capture leverage, the purpose … appropriate regularity conditions; and (2) to show that leverage is not possible in these univariate conditional volatility models. …

of conditional volatility are sensitive to the long memory in the conditional mean, to examine asymmetry and leverage in …

asymmetric effect. Moreover, there is a leverage effect in the monthly growth rate of Japanese tourists to New Zealand, whereby … the issues related to risk and leverage effects, are also applicable to international tourism flows. …

volatility models, namely GARCH, GJR, EGARCH, and Stochastic Volatility that are widely used to capture asymmetry and leverage. …