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Alternative Asymmetric Stochastic Volatility Models

✍ Scribed by Asai, Manabu; McAleer, Michael

Book ID: 120464836
Publisher: Taylor and Francis Group
Year: 2011
Tongue: English
Weight: 145 KB
Volume: 30
Category: Article
ISSN: 0747-4938
DOI: 10.1080/07474938.2011.553156

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## Abstract This paper presents gamma stochastic volatility models and investigates its distributional and time series properties. The parameter estimators obtained by the method of moments are shown analytically to be consistent and asymptotically normal. The simulation results indicate that the e