Improving the asymmetric stochastic volatility model with ex-post volatility: the identification of the asymmetry (Q6158371)
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scientific article; zbMATH DE number 7698360
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Improving the asymmetric stochastic volatility model with ex-post volatility: the identification of the asymmetry |
scientific article; zbMATH DE number 7698360 |
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Improving the asymmetric stochastic volatility model with ex-post volatility: the identification of the asymmetry (English)
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20 June 2023
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asymmetric stochastic volatility
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leverage effect
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time-varying asymmetry
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Bayesian MCMC
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density forecasting
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realized volatility measures
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