General asymmetric stochastic volatility models using range data: estimation and empirical evidence from emerging equity markets

Manabu Asai and Angelo Unite

Applied Financial Economics, 2010, vol. 20, issue 13, 1041-1049

Abstract: We extend the range-based approach of Alizadeh et al. (2002) in order to deal with leverage and size effects and nonnormal conditional distribution in Stochastic Volatility (SV) models. We employ the Efficient Importance Sampling (EIS) method to estimate the range-based asymmetric SV models. Empirical results for the stock market indices of the Association of Southeast Asian Nations (ASEAN5) countries show that the conditional distributions of stock returns are nonnormal and that the model considered captures the existence/absence of the leverage and size effects.

Date: 2010
References: Add references at CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1080/09603101003724356 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:apfiec:v:20:y:2010:i:13:p:1041-1049

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAFE20

DOI: 10.1080/09603101003724356

Access Statistics for this article

Applied Financial Economics is currently edited by Anita Phillips

More articles in Applied Financial Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().