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Applied Financial Economics Volume 20, 2010 - Issue 13
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Original Articles

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

Manabu Asai Faculty of Economics, Soka University, Hachioji-shi 192-8577, JapanCorrespondence[email protected]
&
Angelo Unite Department of Economics, De La Salle University, Manila 1004, Philippines
Pages 1041-1049 | Published online: 14 Jun 2010

Citations (6)

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Read on this site (2)

Manabu Asai & Iván Brugal. (2012) Forecasting volatility using range data: analysis for emerging equity markets in Latin America. Applied Financial Economics 22:6, pages 461-470.
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Neda Todorova. (2012) Volatility estimators based on daily price ranges versus the realized range. Applied Financial Economics 22:3, pages 215-229.
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Articles from other publishers (4)

Ray Yeutien Chou, Hengchih Chou & Nathan Liu. 2015. Handbook of Financial Econometrics and Statistics. Handbook of Financial Econometrics and Statistics 2029 2050 .
Manabu Asai & Ivan Brugal. (2013) Forecasting volatility via stock return, range, trading volume and spillover effects: The case of Brazil. The North American Journal of Economics and Finance 25, pages 202-213.
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Manabu Asai. (2013) Heterogeneous Asymmetric Dynamic Conditional Correlation Model with Stock Return and Range. Journal of Forecasting 32:5, pages 469-480.
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Manabu Asai. (2012) Heterogeneous Asymmetric Dynamic Conditional Correlation Model with Stock Return and Range. SSRN Electronic Journal.
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