News impact curve for stochastic volatility models
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DOI: 10.1016/j.econlet.2013.03.001
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- Makoto Takahashi & Yasuhiro Omori & Toshiaki Watanabe, 2012. "News Impact Curve for Stochastic Volatility Models," Global COE Hi-Stat Discussion Paper Series gd12-242, Institute of Economic Research, Hitotsubashi University.
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Cited by:
- Kenichiro McAlinn & Asahi Ushio & Teruo Nakatsuma, 2020. "Volatility forecasts using stochastic volatility models with nonlinear leverage effects," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(2), pages 143-154, March.
- Catania, Leopoldo & Proietti, Tommaso, 2020.
"Forecasting volatility with time-varying leverage and volatility of volatility effects,"
International Journal of Forecasting, Elsevier, vol. 36(4), pages 1301-1317.
- Leopoldo Catania & Tommaso Proietti, 2019. "Forecasting Volatility with Time-Varying Leverage and Volatility of Volatility Effects," CEIS Research Paper 450, Tor Vergata University, CEIS, revised 06 Feb 2019.
- Kenichiro McAlinn & Asahi Ushio & Teruo Nakatsuma, 2016. "Volatility Forecasts Using Nonlinear Leverage Effects," Papers 1605.06482, arXiv.org, revised Dec 2017.
- Mao, Xiuping & Czellar, Veronika & Ruiz, Esther & Veiga, Helena, 2020. "Asymmetric stochastic volatility models: Properties and particle filter-based simulated maximum likelihood estimation," Econometrics and Statistics, Elsevier, vol. 13(C), pages 84-105.
- Treyer, Karin & Bauer, Christian & Simons, Andrew, 2014. "Human health impacts in the life cycle of future European electricity generation," Energy Policy, Elsevier, vol. 74(S1), pages 31-44.
- Asai, Manabu & Chang, Chia-Lin & McAleer, Michael, 2022. "Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers," Journal of Econometrics, Elsevier, vol. 227(1), pages 285-304.
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More about this item
Keywords
Bayesian inference; Markov chain Monte Carlo; News impact curve; Rejection sampling; Stochastic volatility;All these keywords.
JEL classification:
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
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