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"Stochastic volatility model with leverage and asymmetrically heavy-tailed ..."

Jouchi Nakajima, Yasuhiro Omori (2012)

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DOI: 10.1016/J.CSDA.2010.07.012

access: closed

type: Journal Article

metadata version: 2020-03-27

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Jouchi Nakajima, Yasuhiro Omori:
Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student's t-distribution. Comput. Stat. Data Anal. 56(11): 3690-3704 (2012)

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