| Autor: |
Zhongxian Men, Wirjanto, Tony S., Kolkiewicz, Adam W. |
| Předmět: |
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| Zdroj: |
Journal of Risk & Financial Management; May2021, Vol. 14 Issue 5, p1-28, 28p |
| Abstrakt: |
This paper studies multiscale stochastic volatility models of financial asset returns. It specifies two components in the log-volatility process and allows for leverage/asymmetric effects from both components while return innovation terms follow a heavy/fat tailed Student t distribution. The two components are shown to be important in capturing persistent dependence in return volatility, which is often absent in applications of stochastic volatility models which incorporate leverage/asymmetric effects. The models are applied to asset returns from a foreign currency market and an equity market. The model fits are assessed, and the proposed models are shown to compare favorably to the one-component asymmetric stochastic volatility models with Gaussian and Student t distributed innovation terms. [ABSTRACT FROM AUTHOR] |
| Databáze: |
Complementary Index |
| Externí odkaz: |
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