{"@context":{"@vocab":"https://cir.nii.ac.jp/schema/1.0/","rdfs":"http://www.w3.org/2000/01/rdf-schema#","dc":"http://purl.org/dc/elements/1.1/","dcterms":"http://purl.org/dc/terms/","foaf":"http://xmlns.com/foaf/0.1/","prism":"http://prismstandard.org/namespaces/basic/2.0/","cinii":"http://ci.nii.ac.jp/ns/1.0/","datacite":"https://schema.datacite.org/meta/kernel-4/","ndl":"http://ndl.go.jp/dcndl/terms/","jpcoar":"https://github.com/JPCOAR/schema/blob/master/2.0/"},"@id":"https://cir.nii.ac.jp/crid/1360002216006870016.json","@type":"Article","productIdentifier":[{"identifier":{"@type":"DOI","@value":"10.1016/j.jeconom.2017.05.010"}},{"identifier":{"@type":"URI","@value":"https://api.elsevier.com/content/article/PII:S0304407617300726?httpAccept=text/xml"}},{"identifier":{"@type":"URI","@value":"https://api.elsevier.com/content/article/PII:S0304407617300726?httpAccept=text/plain"}},{"identifier":{"@type":"DOI","@value":"10.2139/ssrn.2954454"}},{"identifier":{"@type":"HANDLE","@value":"10419/162304"}}],"resourceType":"学術雑誌論文(journal article)","dc:title":[{"@value":"Realized stochastic volatility with general asymmetry and long memory"}],"description":[{"notation":[{"@value":"Abstract   The paper develops a novel realized stochastic volatility model of asset returns and realized volatility that incorporates general asymmetry and long memory (hereafter the RSV-GALM model). The contribution of the paper ties in with Robert Basmann’s seminal work in terms of the estimation of highly non-linear model specifications (Basmann, 1988), especially for specifying causal effects from returns to future volatility. This paper discusses asymptotic results of a Whittle likelihood estimator for the RSV-GALM model and a test for general asymmetry, and analyzes the finite sample properties. The paper also develops an approach to obtain volatility estimates and out-of-sample forecasts. Using high frequency data for three US financial assets, the new model is estimated and evaluated. 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