Leverage, heavy-tails and correlated jumps in stochastic volatility models

DOI10.1016/j.csda.2008.03.015zbMath1453.62163MaRDI QIDQ961427

Yasuhiro Omori, Jouchi Nakajima

Publication date: 30 March 2010

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2008.03.015

Mathematics Subject Classification ID

62-08: Computational methods for problems pertaining to statistics

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62P05: Applications of statistics to actuarial sciences and financial mathematics

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Uses Software

• Ox

Cites Work

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