The paper develops a novel realized matrix-exponential stochastic volatility model of
multivariate returns and realized covariances that incorporates asymmetry and long memory …

This paper proposes a new dynamic model called Stochastic Tail Index (STI) model to
analyze time-varying tail index for financial asset using high frequency return data. Bayesian …

Predicting volatility is of primary importance for business applications in risk management,
asset allocation, and the pricing of derivative instruments. This paper proposes a …

The statistical properties of a general family of asymmetric stochastic volatility (A-SV) models
which capture the leverage effect in financial returns are derived providing analytical …

The patterns of China's stock market during 2004 and 2020 are characterized by Value at
Risks (VaR) of 3 important stock indexes: Shanghai Security Composite index (SSEC) …

The paper proposes the use of data cloning (DC) to the estimation of general univariate
asymmetric stochastic volatility (ASV) models with flexible distributions for the standardized …

The leverage effect—the correlation between an asset's return and its volatility—has played
a key role in forecasting and understanding volatility and risk. While it is a long standing …

Abul Bashar Bhuiyan is an Associate Professor at Faculty of Business and Accountancy
(FBA), University of Selangor (UNISEL), Selangor, Malaysia. He has been working in …

This study examines whether the current virus pandemic (COVID-19) has any significant
negative effect on returns series of selected stock markets in the developed, Asian and GCC …

This paper proposes a new way to measure the leverage effect and its propagation over
time. We also show that, with respect to the newly proposed measure, common volatility …