کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5095477 | 1376464 | 2017 | 37 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Realized stochastic volatility with general asymmetry and long memory
ترجمه فارسی عنوان
نوسان پذیری تصادفی با عدم تقارن کلی و حافظه بلند
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
چکیده انگلیسی
The paper develops a novel realized stochastic volatility model of asset returns and realized volatility that incorporates general asymmetry and long memory (hereafter the RSV-GALM model). The contribution of the paper ties in with Robert Basmann's seminal work in terms of the estimation of highly non-linear model specifications (Basmann, 1988), especially for specifying causal effects from returns to future volatility. This paper discusses asymptotic results of a Whittle likelihood estimator for the RSV-GALM model and a test for general asymmetry, and analyzes the finite sample properties. The paper also develops an approach to obtain volatility estimates and out-of-sample forecasts. Using high frequency data for three US financial assets, the new model is estimated and evaluated. The paper compares the forecasting performance of the new model with a realized conditional volatility model.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 199, Issue 2, August 2017, Pages 202-212
Journal: Journal of Econometrics - Volume 199, Issue 2, August 2017, Pages 202-212
نویسندگان
Manabu Asai, Chia-Lin Chang, Michael McAleer,