Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixtureMark J. Jensen, John M. Maheu2013-08-23articleJournal of Econometrics62 citationsgreenNo readable copy stored yet — this record is metadata only.Financial Risk and Volatility ModelingStochastic processes and financial applicationsBayesian Methods and Mixture ModelsAbstractNo abstract was published for this record.Citations in this libraryStored only when both papers are in the corpus — 62 citations exist upstream.References1991Conditional Heteroskedasticity in Asset Returns: A New Approach1987Expected stock returns and volatility1989Why Does Stock Market Volatility Change Over Time?1982The stochastic behavior of common stock variances Value, leverage and interest rate effects1998Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models1992No news is good news2000Asymmetric Volatility and Risk in Equity Markets2003Forecasting Volatility in Financial Markets: A ReviewCited by2021Modeling Univariate and Multivariate Stochastic Volatility in R with stochvol and factorstochvol2023Does exchange rate volatility affect the impact of appreciation and depreciation on the trade balance? A nonlinear bivariate approach