News Impact Curve for Stochastic Volatility Models

Preprint, External research report OPEN
Takahashi, Makoto; Omori, Yasuhiro; Watanabe, Toshiaki;
(2012)
  • Publisher: Institute of Economic Research, Hitotsubashi University

This paper proposes a new method to compute the news impact curve for stochastic volatility (SV) models. The new method incorporates the joint movement of return and volatility, which has been ignored by the extant literature, by simply adding a couple of steps to the B... View more
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