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Asai, Manabu ; McAleer, Michael ; Medeiros, Marcelo C. | 2011-08A wide variety of conditional and stochastic variance models has been used to estimate latent volatility (or risk). In this paper, we propose a new long memory asymmetric volatility model which captures more flexible asymmetric patterns as compa[...]texto impreso
Asai, Manabu ; McAleer, Michael ; Medeiros, Marcelo C. | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2011-04Several methods have recently been proposed in the ultra high frequency financial literature to remove the effects of microstructure noise and to obtain consistent estimates of the integrated volatility (IV) as a measure of ex-post daily volatil[...]
