Pages that link to "Item:Q961427"
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The following pages link to Leverage, heavy-tails and correlated jumps in stochastic volatility models (Q961427):
Displayed 5 items.
- Estimating stochastic volatility models using daily returns and realized volatility simultaneously (Q961439) (← links)
- A note on the properties of power-transformed returns in long-memory stochastic volatility models with leverage effect (Q961822) (← links)
- On marginal likelihood computation in change-point models (Q1927122) (← links)
- Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage and heavy-tailed errors (Q1927147) (← links)
- Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student's \(t\)-distribution (Q1927148) (← links)