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Testing for a unit root in the presence of stochastic volatility and leverage effect
Li, Yong; Chong, Terence Tai-Leung; Zhang, Jie - In: Economic modelling 29 (2012) 5, pp. 2035-2038
Persistent link: https://www.econbiz.de/10009666985
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Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture
Jensen, Mark J.; Maheu, John M. - In: Journal of econometrics 178 (2014) 1, pp. 523-538
Persistent link: https://www.econbiz.de/10010256874
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Asymmetric risk and return : evidence from the Australian Stock Exchange
Vo, Minh T.; Cohen, Michael; Boulter, Terry - In: Pacific-Basin finance journal 35 (2015) 2, pp. 558-573
Persistent link: https://www.econbiz.de/10011543740
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Does the financial leverage effect depend on volatility regimes?
Chon, Sora; Kim, Jaeho - In: Finance research letters 39 (2021), pp. 1-7
Persistent link: https://www.econbiz.de/10012805319
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A Gamma Ornstein-Uhlenbeck model driven by a Hawkes process
Bernis, Guillaume; Brignone, Riccardo; Scotti, Simone; … - In: Mathematics and financial economics 15 (2021) 4, pp. 747-773
Persistent link: https://www.econbiz.de/10012616856
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Stochastic volatility, jumps and leverage in energy and stock markets : evidence from high frequency data
Baum, Christopher F.; Zerilli, Paola; Chen, Liyuan - In: Energy economics 93 (2021), pp. 1-12
Persistent link: https://www.econbiz.de/10012643307
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The leverage effect puzzle revisited : identification in discrete time
Han, Hyojin; Khrapov, Stanislav; Renault, Eric - In: Journal of econometrics 217 (2020) 2, pp. 230-258
Persistent link: https://www.econbiz.de/10012482760
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The leverage effect puzzle : the case of European sovereign credit default swap market
Kliber, Agata - In: Review of derivatives research 19 (2016) 3, pp. 217-235
Persistent link: https://www.econbiz.de/10011927969
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Stochastic volatility of volatility in continuous time
Barndorff-Nielsen, Ole E.; Veraart, Almut E. D. - School of Economics and Management, University of Aarhus - 2009
This paper introduces the concept of stochastic volatility of volatility in continuous time and, hence, extends standard stochastic volatility (SV) models to allow for an additional source of randomness associated with greater variability in the data. We discuss how stochastic volatility of...
Persistent link: https://www.econbiz.de/10005025510
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Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture
Jensen, Mark J.; Maheu, John M. - In: Journal of Econometrics 178 (2014) P3, pp. 523-538
We extend the asymmetric, stochastic, volatility model by modeling the return-volatility distribution nonparametrically …. The novelty is modeling this distribution with an infinite mixture of Normals, where the mixture unknowns have a Dirichlet …
Persistent link: https://www.econbiz.de/10010730133