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

DOI10.1016/j.csda.2008.03.015zbMath1453.62163OpenAlexW2090138378MaRDI QIDQ961427

Yasuhiro Omori, Jouchi Nakajima

Publication date: 30 March 2010

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2008.03.015

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Uses Software

• Ox

Cites Work

• Unnamed Item
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• The diffuse Kalman filter
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• Filtering via Simulation: Auxiliary Particle Filters
• Marginal Likelihood From the Metropolis–Hastings Output
• The simulation smoother for time series models
• Accept–reject Metropolis–Hastings sampling and marginal likelihood estimation

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