Çakmaklı, Cem; Öztürk, Verda - 2021
We propose a joint modeling strategy for timing the joint distribution of the returns and their volatility. We do this … volatility, allowing for asymmetric cross-correlations, denoted as instantaneous leverage effects, in addition to cross …-autocorrelations between returns and volatility, denoted as intertemporal leverage effects. We show that while the conventional intertemporal …
