Bollerslev, Tim; Xu, Lai; Zhou, Hao - School of Economics and Management, University of Aarhus - 2012
implications from a long-run risk model that allow for both time-varying volatility and volatility uncertainty. We provide new … for the direct estimation of the underlying economic mechanisms, including a new volatility leverage effect, the … persistence of the latent long-run growth component and the two latent volatility factors, as well as the contemporaneous impacts …