Asai, Manabu; McAleer, Michael - Departament d'Economia Aplicada, Facultat de Ciències … - 2005
This paper proposes and analyses two types of asymmetric multivariate stochastic volatility (SV) models, namely: (i) SV with leverage (SV-L) model, which is based on the negative correlation between the innovations in the returns and volatility; and (ii) SV with leverage and size effect (SV-LSE)...