Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student’s -distribution

✍ Scribed by Jouchi Nakajima; Yasuhiro Omori

• Book ID: 113557615
• Publisher: Elsevier Science
• Year: 2012
• Tongue: English
• Weight: 836 KB
• Volume: 56
• Category: Article
• ISSN: 0167-9473
• DOI: 10.1016/j.csda.2010.07.012