English (United Kingdom)

https://curated-unify.zendy.io/wp-json/zendy-region/v1/featured_content/oa?rat=en

https://curated-unify.zendy.io/wp-json/zendy-region/v1/highlighted_journal/

Global: Zendy Plus annual

Presents the access of premium content as premium feature

Premium Content

Presents the keyphrase highlighting as premium feature

Keyphrase Highlighting

Presents the summarisation as premium feature

Summarisation

Insights

Presents the pdf analysis as premium feature

PDF Analysis

Presents the zaia usage as premium feature

ZAIA

Global: Zendy Tools annual

Global: Zendy Free Plan

Global: Zendy Tools monthly

Global: Zendy Plus monthly

In an asset return series there is a conditional asymmetric dependencebetween current return and past volatility depending on the current return'ssign. To take into account the conditional asymmetry, we introduce new modelsfor asset return dynamics in which frequencies of the up and down movements ofasset price have conditionally independent Poisson distributions withstochastic intensities. The intensities are assumed to be stochastic recurrenceequations of the GARCH type in order to capture the volatility clustering andthe leverage effect. We provide an important linkage between our model andexisting GARCH, explain how to apply maximum likelihood estimation to determinethe parameters in the intensity model and show empirical results with the S&P500 index return series.

Conditional correlation in asset return and GARCH intensity model