G Mao, Z Zhang - Journal of Econometrics, 2018 - Elsevier
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 …
L Catania, T Proietti - International Journal of Forecasting, 2020 - Elsevier
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 …
D Wu - Journal of Physics: Conference Series, 2020 - iopscience.iop.org
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) …
P de Zea Bermudez, JM Marín, H Veiga - Econometric Reviews, 2020 - Taylor & Francis
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 …
K McAlinn, A Ushio, T Nakatsuma - Journal of Forecasting, 2020 - Wiley Online Library
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 …
L Catania - Available at SSRN 3578656, 2020 - papers.ssrn.com
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 …