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

Jouchi Nakajima, Yasuhiro Omori (2009)

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DOI: 10.1016/J.CSDA.2008.03.015

access: closed

type: Journal Article

metadata version: 2020-03-27

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Jouchi Nakajima, Yasuhiro Omori:
Leverage, heavy-tails and correlated jumps in stochastic volatility models. Comput. Stat. Data Anal. 53(6): 2335-2353 (2009)

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