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Statistical Properties of Two Asymmetric Stochastic Volatility in Power Mean Models

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  • Antonis Demos

    (www.aueb.gr/users/demos)

Abstract

Here we investigate the statistical properties of two autoregressive normal asymmetric SV models with possibly time varying risk premia. These, although they seem very similar, it turns out, that they possess quite different statistical properties. The derived properties can be employed to develop tests or to check for up to forth order stationarity, something important for the asymptotic properties of various estimators.

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  • Antonis Demos, 2025. "Statistical Properties of Two Asymmetric Stochastic Volatility in Power Mean Models," DEOS Working Papers 2546, Athens University of Economics and Business.
    • Handle: RePEc:aue:wpaper:2546
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