Investigating asymmetry in US stock market indexes: evidence from a stochastic volatility model
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References listed on IDEAS
- C.S. Forbes & G.M. Martin & J. Wright, 2002. "Bayesian Estimation of a Stochastic Volatility Model Using Option and Spot Prices," Monash Econometrics and Business Statistics Working Papers 2/02, Monash University, Department of Econometrics and Business Statistics.
- Neil Shephard & Siddhartha Chib, 1998. "Markov Chain Monte Carlo methods for Generalized Stochastic Volatility Models," Economics Series Working Papers 1998-W21, University of Oxford, Department of Economics.
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- Matteo Grigoletto & Francesco Lisi, 2011. "Practical implications of higher moments in risk management," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 20(4), pages 487-506, November.
- McAleer, Michael & Medeiros, Marcelo C., 2008.
"A multiple regime smooth transition Heterogeneous Autoregressive model for long memory and asymmetries,"
Journal of Econometrics,
Elsevier, vol. 147(1), pages 104-119, November.
- Michael McAller & Marcelo C. Medeiros, 2007. "A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries," Textos para discussão 544, Department of Economics PUC-Rio (Brazil).
- Patricia Lengua & Cristian Bayes & Gabriel Rodríguez, 2015. " A Stochastic Volatility Model with GH Skew Student’s t-Distribution: Application to Latin-American Stock Returns," Documentos de Trabajo / Working Papers 2015-405, Departamento de Economía - Pontificia Universidad Católica del Perú.
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