Working Paper : 2303


Authors Demos, A.
Title Statistical Properties of Two Asymmetric Stochastic Volatility in Mean Models
Abstract Here we investigate the statistical properties of two normal asymmetric SV models with possibly time varying risk premia. In fact, we investigate two popular autoregressive stochastic volatility specifications. These, although they seem very similar, it turns out, that they possess quite different statistical properties. The derived properties can be employed to develop tests or to check stationarity of various orders, something important for the asymptotic properties of various estimators.
Creation Date 2023-01-19
File SV-GT-Sta-Prop.pdf (547911 bytes)
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