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

Related Items

Estimating stochastic volatility models using daily returns and realized volatility simultaneously, A note on the properties of power-transformed returns in long-memory stochastic volatility models with leverage effect, On marginal likelihood computation in change-point models, Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage and heavy-tailed errors, Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student's \(t\)-distribution

Uses Software

• Ox

Cites Work

• Unnamed Item
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