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- W2238402590 abstract "This paper proposes the efficient and fast Markov chain Monte Carlo estimation methods for the stochastic volatility model with leverage effects, heavy-tailed errors and jump components, and for the stochastic volatility model with correlated jumps. We illustrate our method using simulated data and analyze daily stock returns data on S&P500 index and TOPIX. Model comparisons are conducted based on the marginal likelihood for various SV models including the superposition model." @default.
- W2238402590 created "2016-06-24" @default.
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- W2238402590 date "2007-01-01" @default.
- W2238402590 modified "2023-10-14" @default.
- W2238402590 title "Leverage, heavy-tails and correlated jumps in stochastic volatility models" @default.
- W2238402590 hasPublicationYear "2007" @default.
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