A complete guide to the theory and practice of volatility models in financial engineering Volatility has become a hot topic in this era of instant communication
This paper investigates three formulations of the leverage effect in a stochastic volatility model with a skewed and heavy-tailed observation distribution. The
Using realized volatility to estimate conditional variance of financial returns, we compare forecasts of volatility from linear GARCH models with asymmetric one
Linear filtering techniques are used to develop a quasi maximum likelihood estimator for asymmetric stochastic volatility models. The estimator is straightforwa