Publication:
Score driven asymmetric stochastic volatility models

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dc.affiliation.dptoUC3M. Departamento de EstadĂ­sticaes
dc.contributor.authorMao, Xiuping
dc.contributor.authorRuiz Ortega, Esther
dc.contributor.authorLopes Moreira Da Veiga, MarĂ­a Helena
dc.contributor.editorUniversidad Carlos III de Madrid. Departamento de EstadĂ­sticaes
dc.date.accessioned2014-10-23T17:10:44Z
dc.date.available2014-10-23T17:10:44Z
dc.date.issued2014-10
dc.description.abstractIn this paper we propose a new class of asymmetric stochastic volatility (SV) models, which specifies the volatility as a function of the score of the distribution of returns conditional on volatilities based on the Generalized Autoregressive Score (GAS) model. Different specifications of the log-volatility are obtained by assuming different return error distributions. In particular, we consider three of the most popular distributions, namely, the Normal, Student-t and Generalized Error Distribution and derive the statistical properties of each of the corresponding score driven SV models. We show that some of the parameters cannot be property identified by the moments usually considered as to describe the stylized facts of financial returns, namely, excess kurtosis, autocorrelations of squares and cross-correlations between returns and future squared returns. The parameters of some restricted score driven SV models can be estimated adequately using a MCMC procedure. Finally, the new proposed models are fitted to financial returns and evaluated in terms of their in-sample and out-of-sample performanceen
dc.description.sponsorshipFinancial support from the Spanish Ministry of Education and Science, research project ECO2012-32401, is acknowledged. The third author is also grateful for project MTM2010-17323en
dc.format.mimetypeapplication/pdf
dc.identifier.repecws142618
dc.identifier.urihttps://hdl.handle.net/10016/19577
dc.identifier.uxxiDT/0000001285es
dc.language.isoenges
dc.relation.ispartofseriesUC3M Working papers. Statistics and Econometricsen
dc.relation.ispartofseries14-18
dc.relation.projectIDGobierno de España. ECO2012-32401es
dc.rightsAtribuciĂ³n-NoComercial-SinDerivadas 3.0 España*
dc.rights.accessRightsopen accessen
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/*
dc.subject.jelC22
dc.subject.otherBUGSen
dc.subject.otherGeneralized Asymmetric Stochastic Volatilityen
dc.subject.otherMCMCen
dc.subject.otherScore driven modelsen
dc.titleScore driven asymmetric stochastic volatility modelsen
dc.typeworking paper*
dc.type.hasVersionSMUR*
dspace.entity.typePublication
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