Box–Cox realized asymmetric stochastic volatility models with generalized Student'st-error distributions

DOI10.1080/02664763.2015.1125862OpenAlexW2260753758MaRDI QIDQ5138133

Takayuki Morimoto, Didit Budi Nugroho

Publication date: 3 December 2020

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02664763.2015.1125862

zbMATH Keywords

Box-Cox transformationMCMCHMCgeneralized Student's \(t\)-distributionsrealized stochastic volatility

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (3)

Nonparametric predictive inference for American option pricing based on the binomial tree model ⋮ Dynamic correlation multivariate stochastic volatility with latent factors ⋮ Incorporating realized quarticity into a realized stochastic volatility model

Cites Work

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