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

References

• Alizadeh , S , Brandt , MW and Diebold , FX . 2002 . Range-based estimation of stochastic volatility models . Journal of Finance , 57 : 1047 – 91 .
   Web of Science ®Google Scholar
• Asai , M . 2008 . Autoregressive stochastic volatility models with heavy-tailed distributions: a comparison with multifactor volatility models . Journal of Empirical Finance , 15 : 332 – 41 .
   Web of Science ®Google Scholar
• Asai , M and Dashzeveg , U . 2008 . A distribution-free test for symmetry with an application to S&P index returns . Applied Economics Letters , 15 : 461 – 4 .
   Web of Science ®Google Scholar
• Asai , M and McAleer , M . 2005 . Dynamic asymmetric leverage in stochastic volatility models . Econometric Reviews , 24 : 317 – 32 .
   Web of Science ®Google Scholar
• Asai , M and McAleer , M . 2008 . Alternative asymmetric stochastic volatility models . Econometric Reviews , forthcoming
   Google Scholar
• Asai , M , McAleer , M and Yu , J . 2006 . Multivariate stochastic volatility: a review . Econometric Reviews , 25 : 145 – 75 .
   Web of Science ®Google Scholar
• Bekaert , G , Erb , C , Harvey , C and Viskanta , T . 1998 . Distributional characteristics of emerging market returns and asset allocation . Journal of Portfolio Management , Winter : 102 – 16 .
   Web of Science ®Google Scholar
• Bekaert , G and Harvey , C . 1995 . Time-varying world market integration . Journal of Finance , 50 : 403 – 44 .
   Web of Science ®Google Scholar
• Bekaert , G and Harvey , C . 1997 . Emerging equity market volatility . Journal of Financial Economics , 43 : 29 – 77 .
   Web of Science ®Google Scholar
• Bekaert , G and Harvey , C . 2000 . Foreign speculators and emerging equity markets . Journal of Finance , 55 : 565 – 613 .
   Web of Science ®Google Scholar
• Bekaert , G and Wu , G . 2000 . Asymmetric volatility and risk in equity markets . Review of Financial Studies , 13 : 1 – 42 .
   Web of Science ®Google Scholar
• Brandt , MW and Diebold , FX . 2006 . A no-arbitrage approach to range-based estimation of return covariances and correlations . Journal of Business , 79 : 61 – 73 .
   Web of Science ®Google Scholar
• Brandt , MW and Jones , CS . 2006 . Volatility forecasting with range-based EGARCH models . Journal of Business and Economic Statistics , 24 : 470 – 86 .
   Web of Science ®Google Scholar
• Buckberg , E . 1995 . Emerging stock markets and international asset pricing . World Bank Economic Review , 9 : 51 – 74 .
   Web of Science ®Google Scholar
• Chernov , M , Gallant , AR , Ghysels , E and Tauchen , G . 2003 . Alternative models for stock price dynamics . Journal of Econometrics , 116 : 225 – 57 .
   Web of Science ®Google Scholar
• Eizaguirre , JC , Biscarri , JG and de Gracia Hidalgo , FP . 2009 . Financial liberalization, stock market volatility and outliers in emerging economies . Applied Financial Economics , 19 : 809 – 23 .
   Google Scholar
• Errunza , V . 1997 . Research on emerging markets: past, present and future . Emerging Markets Quarterly , Fall : 5 – 18 .
   Google Scholar
• Godfrey , LG and Orme , CD . 1991 . Testing for skewness of regression disturbances . Economics Letters , 37 : 31 – 4 .
   Web of Science ®Google Scholar
• Harvey , C . 1995 . Predictable risk and returns in emerging markets . Review of Financial Studies , 8 : 773 – 816 .
   Web of Science ®Google Scholar
• Harvey , AC and Shephard , N . 1996 . Estimation of an asymmetric stochastic volatility model for asset returns . Journal of Business and Economic Statistics , 14 : 429 – 34 .
   Web of Science ®Google Scholar
• Kim , E and Singal , V . 2000 . Stock market openings: experience of emerging economies . Journal of Business , 73 : 25 – 66 .
   Web of Science ®Google Scholar
• Lee , C , Chen , G and Rui , O . 2001 . Stock returns and volatility on China's stock markets . Journal of Financial Research , 24 : 523 – 43 .
   Google Scholar
• Liesenfeld , R and Richard , J-F . 2003 . Univariate and multivariate stochastic volatility models: estimation and diagnostics . Journal of Empirical Finance , 10 : 505 – 31 .
   Google Scholar
• McAleer , M . 2005 . Automated inference and learning in modeling financial volatility . Econometric Theory , 21 : 232 – 61 .
   Web of Science ®Google Scholar
• Nelson , DB . 1991 . Conditional heteroskedasticity in asset returns: a new approach . Econometrica , 59 : 347 – 70 .
   Web of Science ®Google Scholar
• Omori , Y , Chib , S , Shephard , N and Nakajima , J . 2007 . Stochastic volatility model with leverage: fast and efficient likelihood inference . Journal of Econometrics , 140 : 425 – 49 .
   Web of Science ®Google Scholar
• Parkinson , M . 1980 . The extreme value method for estimating the variance of the rate of return . Journal of Business , 53 : 61 – 5 .
   Web of Science ®Google Scholar
• Sandeep , P and Sarkar , A . 1998 . Stock market crises in developed and emerging markets , Federal Reserve Bank of New York Research Paper No. 9809
   Google Scholar
• Selçuk , F . 2005 . Asymmetric stochastic volatility in emerging stock markets . Applied Financial Economics , 15 : 867 – 74 .
   Google Scholar
• Yang , D and Zhang , Q . 2000 . Drift-independent volatility estimation based on high, low, open, and close prices . Journal of Business , 73 : 477 – 91 .
   Web of Science ®Google Scholar