Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student’s -distribution
Jouchi Nakajima, Yasuhiro OmoriVolume:
56
Year:
2012
Language:
english
Pages:
1
DOI:
10.1016/j.csda.2010.07.012
File:
PDF, 836 KB
english, 2012