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A publicação pode ser exportada nos seguintes formatos: referência da APA (American Psychological Association), referência do IEEE (Institute of Electrical and Electronics Engineers), BibTeX e RIS.

Exportar Referência (APA) 
Mao, X., Ruiz, E. & Veiga, H. (2017). Threshold stochastic volatility: properties and forecasting. International Journal of Forecasting. 33 (4), 1105-1123
Exportar Referência (IEEE) 
X. Mao et al.,  "Threshold stochastic volatility: properties and forecasting", in Int. Journal of Forecasting, vol. 33, no. 4, pp. 1105-1123, 2017
Exportar BibTeX 
@article{mao2017_1714031037414,
	author = "Mao, X. and Ruiz, E. and Veiga, H.",
	title = "Threshold stochastic volatility: properties and forecasting",
	journal = "International Journal of Forecasting",
	year = "2017",
	volume = "33",
	number = "4",
	doi = "10.1016/j.ijforecast.2017.07.001",
	pages = "1105-1123",
	url = "http://www.sciencedirect.com/science/article/pii/S0169207017300717"
}
Exportar RIS 
TY  - JOUR
TI  - Threshold stochastic volatility: properties and forecasting
T2  - International Journal of Forecasting
VL  - 33
IS  - 4
AU  - Mao, X.
AU  - Ruiz, E.
AU  - Veiga, H.
PY  - 2017
SP  - 1105-1123
SN  - 0169-2070
DO  - 10.1016/j.ijforecast.2017.07.001
UR  - http://www.sciencedirect.com/science/article/pii/S0169207017300717
AB  - We analyze the ability of Threshold Stochastic Volatility (TSV) models to represent and forecast asymmetric volatilities. First, we derive the statistical properties of TSV models. Second, we demonstrate the good finite sample properties of a MCMC estimator, implemented in the software package WinBUGS, when estimating the parameters of a general specification, denoted CTSV, that nests the TSV and asymmetric autoregressive stochastic volatility (A-ARSV) models. The MCMC estimator also discriminates between the two specifications and allows us to obtain volatility forecasts. Third, we analyze daily S&P 500 and FTSE 100 returns and show that the estimated CTSV model implies plug-in moments that are slightly closer to the observed sample moments than those implied by other nested specifications. Furthermore, different asymmetric specifications generate rather different European options prices. Finally, although none of the models clearly emerge as best out-of-sample, it seems that including both threshold variables and correlated errors may be a good compromise.
ER  -