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- W2067304879 abstract "We extend the range-based approach of Alizadeh et al. (2002) in order to deal with leverage and size effects and nonnormal conditional distribution in Stochastic Volatility (SV) models. We employ the Efficient Importance Sampling (EIS) method to estimate the range-based asymmetric SV models. Empirical results for the stock market indices of the Association of Southeast Asian Nations (ASEAN5) countries show that the conditional distributions of stock returns are nonnormal and that the model considered captures the existence/absence of the leverage and size effects." @default.
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- W2067304879 date "2010-07-01" @default.
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- W2067304879 title "General asymmetric stochastic volatility models using range data: estimation and empirical evidence from emerging equity markets" @default.
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- W2067304879 doi "https://doi.org/10.1080/09603101003724356" @default.
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