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17-038/III - Realized Stochastic Volatility with General Asymmetry and Long Memory

  • Authors
    Manabu Asai, Soka University, Japan; Chia-Lin Chang, National Chung Hsing University, Taiwan; Michael McAleer, National Tsing Hua University, Taiwan; Erasmus University Rotterdam, The Netherlands;Complutense University of Madrid, Spain; Yokohama National University, Japan
  • Publication date
    April 10, 2017
  • Keywords
    Stochastic Volatility; Realized Measure; Long Memory; Asymmetry; Whittle likelihood
  • JEL
    C13, C22