Autoregressive stochastic volatility models with heavy-tailed distributions: A comparison with multifactor volatility models

Manabu Asai

doi:10.1016/j.jempfin.2006.06.006

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Autoregressive stochastic volatility models with heavy-tailed distributions: A comparison with multifactor volatility models

Manabu Asai

Year: 2007 Journal: Journal of Empirical Finance Vol: 15 (2)Pages: 332-341 Publisher: Elsevier BV

DOI: 10.1016/j.jempfin.2006.06.006

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Keywords:

Stochastic volatility Econometrics Autoregressive model Volatility (finance) Mathematics Akaike information criterion Deviance information criterion Monte Carlo method Markov chain Monte Carlo Economics Statistics

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Financial Risk and Volatility Modeling

Social Sciences → Economics, Econometrics and Finance → Finance

Stochastic processes and financial applications

Social Sciences → Economics, Econometrics and Finance → Finance

Monetary Policy and Economic Impact

Social Sciences → Economics, Econometrics and Finance → General Economics, Econometrics and Finance

Autoregressive stochastic volatility models with heavy-tailed distributions: A comparison with multifactor volatility models

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