TY  - RPRT
AU  - Asai, Manabu
AU  - McAleer, Michael
AU  - Medeiros, Marcelo C.
PY  - 2011
UR  - https://hdl.handle.net/20.500.14352/49024
AB  - A wide variety of conditional and stochastic variance models has been used to estimate latent volatility (or risk). In this paper, we propose a new long memory asymmetric volatility model which captures more flexible asymmetric patterns as compared...
LA  - eng
KW  - Asymmetric volatility
KW  - Long memory
KW  - Realized volatility
KW  - Measurement errors
KW  - Efficient importance sampling.
TI  - Asymmetry and Long Memory in Volatility Modelling
TY  - technical report
VL  - 2011
ER  -