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