{"id":"https://openalex.org/W3021661707","doi":"https://doi.org/10.1080/07474938.2011.553156","title":"Alternative Asymmetric Stochastic Volatility Models","display_name":"Alternative Asymmetric Stochastic Volatility Models","publication_year":2011,"publication_date":"2011-04-22","ids":{"openalex":"https://openalex.org/W3021661707","doi":"https://doi.org/10.1080/07474938.2011.553156","mag":"3021661707"},"language":"en","primary_location":{"id":"doi:10.1080/07474938.2011.553156","doi":"https://doi.org/10.1080/07474938.2011.553156","is_oa":false,"landing_page_url":"https://doi.org/10.1080/07474938.2011.553156","pdf_url":null,"source":{"id":"https://openalex.org/S134988049","display_name":"Econometric Reviews","issn_l":"0747-4938","issn":["0747-4938","1532-4168"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","dongbi-c","erih-plus","jufo-2","norway-1","poland-100","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547","https://openalex.org/P4310320449"],"host_organization_lineage_names":["Taylor & Francis","Informa"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Econometric Reviews","raw_type":"journal-article"},"volume":null,"type":"article","is_traditional":true,"indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://doi.org/10.2139/ssrn.1464329","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5029092600","display_name":"Manabu Asai","orcid":"https://orcid.org/0000-0002-6682-4622","observed_orcids":["https://orcid.org/0000-0002-6682-4622"]},"institutions":[{"id":"https://openalex.org/I4210088637","display_name":"Soka University","ror":"https://ror.org/003qdfg20","country_code":"JP","type":"education","lineage":["https://openalex.org/I4210088637"]}],"countries":["JP"],"is_corresponding":true,"raw_author_name":"Manabu Asai","raw_affiliation_strings":["Faculty of Economics, Soka University, Tokyo, Japan"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Faculty of Economics, Soka University, Tokyo, Japan","institution_ids":["https://openalex.org/I4210088637"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5045702318","display_name":"Michael J. McAleer","orcid":"https://orcid.org/0000-0003-2707-3835","observed_orcids":["https://orcid.org/0000-0003-2707-3835"]},"institutions":[{"id":"https://openalex.org/I198488067","display_name":"Tinbergen Institute","ror":"https://ror.org/054xxtt73","country_code":"NL","type":"education","lineage":["https://openalex.org/I198488067"]},{"id":"https://openalex.org/I22299242","display_name":"Kyoto University","ror":"https://ror.org/02kpeqv85","country_code":"JP","type":"education","lineage":["https://openalex.org/I22299242"]},{"id":"https://openalex.org/I4405264245","display_name":"Kyoto Institute of Economic Research, Kyoto University","ror":"https://ror.org/01bypt413","country_code":"JP","type":"education","lineage":["https://openalex.org/I22299242","https://openalex.org/I4405264245"]},{"id":"https://openalex.org/I913958620","display_name":"Erasmus University Rotterdam","ror":"https://ror.org/057w15z03","country_code":"NL","type":"education","lineage":["https://openalex.org/I913958620"]}],"countries":["JP","NL"],"is_corresponding":false,"raw_author_name":"Michael McAleer","raw_affiliation_strings":["Econometric Institute, Erasmus School of Economics, Erasmus University Rotterdam, Rotterdamand Tinbergen Institute, The Netherlands, and Institute of Economic Research, Kyoto University, Kyoto, Japan"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Econometric Institute, Erasmus School of Economics, Erasmus University Rotterdam, Rotterdamand Tinbergen Institute, The Netherlands, and Institute of Economic Research, Kyoto University, Kyoto, Japan","institution_ids":["https://openalex.org/I198488067","https://openalex.org/I22299242","https://openalex.org/I4405264245","https://openalex.org/I913958620"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":5,"corresponding_author_ids":["https://openalex.org/A5029092600"],"corresponding_institution_ids":["https://openalex.org/I4210088637"],"apc_list":null,"apc_paid":null,"fwci":6.6706,"has_fulltext":false,"cited_by_count":50,"citation_normalized_percentile":{"value":0.96558371,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":88,"max":98},"biblio":{"volume":"30","issue":"5","first_page":"548","last_page":"564"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9990000128746033,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9990000128746033,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.0010000000474974513,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.0,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/leverage-effect","display_name":"leverage effect","score":0.7850000262260437},{"id":"https://openalex.org/keywords/size-effect","display_name":"size effect","score":0.9769999980926514},{"id":"https://openalex.org/keywords/exponential-garch","display_name":"exponential GARCH","score":0.8379999995231628},{"id":"https://openalex.org/keywords/threshold-effects","display_name":"threshold effects","score":0.45399999618530273},{"id":"https://openalex.org/keywords/efficient-importance-sampling","display_name":"efficient importance sampling","score":0.9150000214576721},{"id":"https://openalex.org/keywords/tail-behavior","display_name":"tail behavior","score":0.640999972820282},{"id":"https://openalex.org/keywords/s-p-500-returns","display_name":"S&P 500 returns","score":0.8370000123977661},{"id":"https://openalex.org/keywords/topix","display_name":"TOPIX","score":0.9139999747276306}],"concepts":[{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.7268274426460266},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.6865502595901489},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.6337981224060059},{"id":"https://openalex.org/C85393063","wikidata":"https://www.wikidata.org/wiki/Q596307","display_name":"Stochastic volatility","level":3,"score":0.5779111385345459},{"id":"https://openalex.org/C185429906","wikidata":"https://www.wikidata.org/wiki/Q1130160","display_name":"Estimator","level":2,"score":0.5218026638031006},{"id":"https://openalex.org/C23922673","wikidata":"https://www.wikidata.org/wiki/Q180752","display_name":"Autoregressive conditional heteroskedasticity","level":3,"score":0.5193884968757629},{"id":"https://openalex.org/C101104100","wikidata":"https://www.wikidata.org/wiki/Q1063540","display_name":"Heteroscedasticity","level":2,"score":0.5190642476081848},{"id":"https://openalex.org/C117996083","wikidata":"https://www.wikidata.org/wiki/Q5473296","display_name":"Forward volatility","level":4,"score":0.47287365794181824},{"id":"https://openalex.org/C60092789","wikidata":"https://www.wikidata.org/wiki/Q7301291","display_name":"Realized variance","level":3,"score":0.4116498827934265},{"id":"https://openalex.org/C187625094","wikidata":"https://www.wikidata.org/wiki/Q7388452","display_name":"SABR volatility model","level":4,"score":0.41073712706565857},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.34556668996810913},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.2020014524459839}],"mesh":[],"locations_count":7,"locations":[{"id":"doi:10.1080/07474938.2011.553156","doi":"https://doi.org/10.1080/07474938.2011.553156","is_oa":false,"landing_page_url":"https://doi.org/10.1080/07474938.2011.553156","pdf_url":null,"source":{"id":"https://openalex.org/S134988049","display_name":"Econometric Reviews","issn_l":"0747-4938","issn":["0747-4938","1532-4168"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","dongbi-c","erih-plus","jufo-2","norway-1","poland-100","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547","https://openalex.org/P4310320449"],"host_organization_lineage_names":["Taylor & Francis","Informa"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Econometric Reviews","raw_type":"journal-article"},{"id":"doi:10.2139/ssrn.1464329","doi":"https://doi.org/10.2139/ssrn.1464329","is_oa":true,"landing_page_url":"https://doi.org/10.2139/ssrn.1464329","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"posted-content"},{"id":"pmh:oai:pure.eur.nl:openaire_cris_publications/a5c2aa8a-ad94-48cb-a38b-cb7208727d24","doi":null,"is_oa":false,"landing_page_url":"https://pure.eur.nl/en/publications/a5c2aa8a-ad94-48cb-a38b-cb7208727d24","pdf_url":null,"source":{"id":"https://openalex.org/S4306401266","display_name":"EUR Research Repository (Erasmus University Rotterdam)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I913958620","host_organization_name":"Erasmus University Rotterdam","host_organization_lineage":["https://openalex.org/I913958620"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Asai, M & McAleer, M 2011, 'Alternative Asymmetric Stochastic Volatility Models', Econometric Reviews, vol. 30, no. 5, pp. 548-564. https://doi.org/10.1080/07474938.2011.553156","raw_type":"info:eu-repo/semantics/article"},{"id":"pmh:oai:CiteSeerX.psu:10.1.1.625.511","doi":null,"is_oa":false,"landing_page_url":"http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.625.511","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"http://www.carf.e.u-tokyo.ac.jp/pdf/workingpaper/fseries/171.pdf","raw_type":"text"},{"id":"pmh:eur:oai:pure.eur.nl:publications/a5c2aa8a-ad94-48cb-a38b-cb7208727d24","doi":null,"is_oa":false,"landing_page_url":"https://pure.eur.nl/en/publications/a5c2aa8a-ad94-48cb-a38b-cb7208727d24","pdf_url":null,"source":{"id":"https://openalex.org/S4306401266","display_name":"EUR Research Repository (Erasmus University Rotterdam)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I913958620","host_organization_name":"Erasmus University Rotterdam","host_organization_lineage":["https://openalex.org/I913958620"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Econometric Reviews, 30(5), 548 - 564. Taylor & Francis Ltd","raw_type":"info:eu-repo/semantics/article"},{"id":"pmh:oai:RePEc:taf:emetrv:v:30:y:2011:i:5:p:548-564","doi":null,"is_oa":false,"landing_page_url":"http://hdl.handle.net/10.1080/07474938.2011.553156","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"},{"id":"pmh:oai:pure.eur.nl:openaire_cris_publications/7eae1274-b6d5-46b7-8794-61c804c031dc","doi":null,"is_oa":false,"landing_page_url":"https://pure.eur.nl/en/publications/7eae1274-b6d5-46b7-8794-61c804c031dc","pdf_url":null,"source":{"id":"https://openalex.org/S4306401266","display_name":"EUR Research Repository (Erasmus University Rotterdam)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I913958620","host_organization_name":"Erasmus University Rotterdam","host_organization_lineage":["https://openalex.org/I913958620"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Asai, M & McAleer, M 2010 'Alternative Asymmetric Stochastic Volatility Models' EI Report serie, vol. EI 2010-69, Econometric Institute, Erasmus University Rotterdam, Rotterdam.","raw_type":"info:eu-repo/semantics/workingPaper"}],"best_oa_location":{"id":"doi:10.2139/ssrn.1464329","doi":"https://doi.org/10.2139/ssrn.1464329","is_oa":true,"landing_page_url":"https://doi.org/10.2139/ssrn.1464329","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"posted-content"},"sustainable_development_goals":[],"study_designs":[],"awards":[{"id":"https://openalex.org/G1994950371","display_name":"Bayesian modeling for actuary and finance","funder_award_id":"20243017","funder_id":"https://openalex.org/F4320334764","funder_display_name":"Japan Society for the Promotion of Science"}],"funders":[{"id":"https://openalex.org/F4320310174","display_name":"University of Pittsburgh","ror":"https://ror.org/01an3r305"},{"id":"https://openalex.org/F4320320409","display_name":"Australian Academy of Science","ror":"https://ror.org/0186yvf62"},{"id":"https://openalex.org/F4320320698","display_name":"National University of Singapore","ror":"https://ror.org/01tgyzw49"},{"id":"https://openalex.org/F4320334764","display_name":"Japan Society for the Promotion of Science","ror":"https://ror.org/00hhkn466"}],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":56,"referenced_works":["https://openalex.org/W644746384","https://openalex.org/W1490503310","https://openalex.org/W1529202042","https://openalex.org/W1576326745","https://openalex.org/W1628017834","https://openalex.org/W1639275303","https://openalex.org/W1965635191","https://openalex.org/W1966268097","https://openalex.org/W1971311059","https://openalex.org/W1977825281","https://openalex.org/W1979575715","https://openalex.org/W1981254972","https://openalex.org/W1991716021","https://openalex.org/W1994823593","https://openalex.org/W1999814123","https://openalex.org/W2008735309","https://openalex.org/W2017297397","https://openalex.org/W2019746656","https://openalex.org/W2025262040","https://openalex.org/W2029906186","https://openalex.org/W2046357557","https://openalex.org/W2054599015","https://openalex.org/W2061160212","https://openalex.org/W2070209193","https://openalex.org/W2071105713","https://openalex.org/W2079672223","https://openalex.org/W2083685602","https://openalex.org/W2089786693","https://openalex.org/W2089861335","https://openalex.org/W2095220910","https://openalex.org/W2101497257","https://openalex.org/W2111724258","https://openalex.org/W2115724285","https://openalex.org/W2118376153","https://openalex.org/W2120022309","https://openalex.org/W2120526182","https://openalex.org/W2127297724","https://openalex.org/W2128266748","https://openalex.org/W2131598171","https://openalex.org/W2135809069","https://openalex.org/W2144246192","https://openalex.org/W2148080284","https://openalex.org/W2154780983","https://openalex.org/W2161314179","https://openalex.org/W2164923280","https://openalex.org/W2169932694","https://openalex.org/W2263098707","https://openalex.org/W2287069463","https://openalex.org/W2742550937","https://openalex.org/W2891601610","https://openalex.org/W3005117407","https://openalex.org/W3121918541","https://openalex.org/W3122150532","https://openalex.org/W3124151087","https://openalex.org/W3124537215","https://openalex.org/W4250856143"],"related_works":["https://openalex.org/W2464344558","https://openalex.org/W4366319678","https://openalex.org/W2331662516","https://openalex.org/W2119835637","https://openalex.org/W3125013017","https://openalex.org/W2118376153","https://openalex.org/W111384320","https://openalex.org/W2740274973","https://openalex.org/W2732121118","https://openalex.org/W987397968"],"abstract_inverted_index":{"The":[0,37,91,145,200],"stochastic":[1,28],"volatility":[2,29],"model":[3,30,38,47,93,208],"usually":[4],"incorporates":[5],"asymmetric":[6,27,55,63,130,135],"effects":[7,71,136,160],"by":[8,96],"introducing":[9],"the":[10,14,43,59,62,66,69,81,85,97,108,113,128,156,164,172,178,182,191,197,207,213],"negative":[11,82,179],"correlation":[12,83,180],"between":[13,84,181],"innovations":[15,86,183],"in":[16,87,142,184],"returns":[17,88,153,185,204],"and":[18,34,77,80,89,104,107,151,158,169,186],"volatility.":[19,90,187],"In":[20],"this":[21],"paper,":[22],"we":[23],"propose":[24],"a":[25,40],"new":[26,92],"based":[31],"on":[32],"leverage":[33,157],"size":[35,159,173],"effects.":[36],"is":[39,94,175,209,221],"generalization":[41],"of":[42,48,65,74,102,112],"exponential":[44],"GARCH":[45],"(EGARCH)":[46],"Nelson":[49],"(1991).":[50],"We":[51,188],"consider":[52,190],"categories":[53],"for":[54,148,195,202,215,224],"effects,":[56],"which":[57],"describes":[58],"difference":[60],"among":[61],"effect":[64,174],"EGARCH":[67],"model,":[68],"threshold":[70],"indicator":[72],"function":[73],"Glosten,":[75],"Jagannathan":[76],"Runkle":[78],"(1992),":[79],"estimated":[95],"efficient":[98],"importance":[99],"sampling":[100],"method":[101],"Liesenfeld":[103],"Richard":[105],"(2003),":[106],"finite":[109],"sample":[110],"properties":[111],"estimator":[114],"are":[115,124,161],"investigated":[116],"using":[117],"numerical":[118],"simulations.":[119],"Four":[120],"financial":[121],"time":[122],"series":[123],"used":[125],"to":[126,138],"estimate":[127],"alternative":[129],"SV":[131],"models,":[132],"with":[133],"empirical":[134,146],"found":[137],"be":[139],"statistically":[140],"significant":[141],"each":[143],"case.":[144],"results":[147,201,214],"S&P":[149],"500":[150],"Yen/USD":[152,203],"indicate":[154],"that":[155,206],"significant,":[162],"supporting":[163],"general":[165],"model.":[166],"For":[167],"TOPIX":[168],"USD/AUD":[170],"returns,":[171],"insignificant,":[176],"favoring":[177],"also":[189],"standardized":[192],"t":[193],"distribution":[194],"capturing":[196],"tail":[198],"behavior.":[199],"show":[205],"correctly":[210],"specified,":[211],"while":[212],"three":[216],"other":[217],"datasets":[218],"suggest":[219],"there":[220],"still":[222],"room":[223],"improvement.":[225]},"counts_by_year":[{"year":2026,"cited_by_count":3},{"year":2023,"cited_by_count":1},{"year":2022,"cited_by_count":5},{"year":2021,"cited_by_count":4},{"year":2020,"cited_by_count":3},{"year":2019,"cited_by_count":4},{"year":2018,"cited_by_count":2},{"year":2017,"cited_by_count":5},{"year":2016,"cited_by_count":1},{"year":2015,"cited_by_count":3},{"year":2014,"cited_by_count":5},{"year":2013,"cited_by_count":3},{"year":2012,"cited_by_count":2}],"updated_date":"2026-11-09T13:22:03.289127","created_date":"2020-05-13T00:00:00"}