Statistical Properties of Two Asymmetric Stochastic Volatility in Power Mean Models

Antonis Demos ()
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No 2546, DEOS Working Papers from Athens University of Economics and Business

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.

Date: 2025-06-26
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