Estimating stochastic volatility with jumps and asymmetry in Asian markets
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DOI: 10.1016/j.frl.2017.10.021
Abstract: Abstract This study investigates the impact of stock market cycles on the volatility of Asian markets. It specifically addresses the combined effect of jumps, asymmetry and stochasticity while predicting the market volatility. Our results indicate… read more here.
Keywords: stochastic volatility; jumps asymmetry; volatility; asian markets ... See more keywords