Improving the asymmetric stochastic volatility model with ex-post volatility: the identification of the asymmetry-Reference-Cited by-同舟云学术

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Improving the asymmetric stochastic volatility model with ex-post volatility: the identification of the asymmetry

Published:2022-11-06 Issue:1 Volume:23 Page:35-51
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Zhang Zehua¹^ORCID,Zhao Ran²^ORCID

Affiliation:

1. Center for Economics, Finance, and Management Studies, Hunan University, Lushan Road, Yuelu District, Changsha, Hunan, People's Republic of China

2. University of Liverpool Management School, University of Liverpool, Chatham St, Liverpool, L69 7ZH, UK

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/14697688.2022.2140700

Reference34 articles.

1. Ultra high frequency volatility estimation with dependent microstructure noise

2. Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts

3. The distribution of realized stock return volatility

4. Realized stochastic volatility with general asymmetry and long memory

5. Microstructure Noise, Realized Variance, and Optimal Sampling

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1. Volatility or higher moments: Which is more important in return density forecasts of stochastic volatility model?;Finance Research Letters;2024-09

2. Good volatility, bad volatility, and the cross section of cryptocurrency returns;International Review of Financial Analysis;2023-10

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