The identification of asymmetric conditional heteroscedasticity is often based on sample cross-correlations between past and squared observations. In this paper we analyse the effects of outliers on these cross-correlations and, consequently, on the identification of asymmetric volatilities.We...

The autocorrelations of log-squared, squared, and absolute financial returns are often used to infer the dynamic properties of the underlying volatility. This article shows that, in the context of long-memory stochastic volatility models, these autocorrelations are smaller than the...

The autocorrelations of log-squared, squared, and absolute financial returns are often used to infer the dynamic properties of the underlying volatility. This article shows that, in the context of long-memory stochastic volatility models, these autocorrelations are smaller than the...

Time series generated by Stochastic Volatility (SV) processes are uncorrelated although not independent. This has consequences on the properties of the sample autocorrelations. In this paper, we analyse the asymptotic and finite sample properties of the correlogram of series generated by SV...

The identification of asymmetric conditional heteroscedasticity is often based on sample cross-correlations between past and squared observations. In this paper we analyse the effects of outliers on these cross-correlations and, consequently, on the identification of asymmetric volatilities.We...

The autocorrelation function (acf) of powered absolute returns and their cross-correlations with original returns are derived, for any value of the power parameter, in the context of long-memory stochastic volatility models with leverage effect and Gaussian noises. These autocorrelations and...