Multiscale Stochastic Volatility Model with Heavy Tails and Leverage Effects

Multiscale Stochastic Volatility Model with Heavy Tails and Leverage Effects

This paper studies multiscale stochastic volatility models of financial asset returns. It specifies two components in the log-volatility process and allows for leverage/asymmetric effects from both components while return innovation terms follow a heavy/fat tailed Student <i>t</i> distri...

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Bibliographic Details
Main Authors: Zhongxian Men, Tony S. Wirjanto, Adam W. Kolkiewicz
Format: Article
Language:English
Published: MDPI AG 2021-05-01
Series:Journal of Risk and Financial Management
Subjects:
Bayesian inference
MCMC
slice sampler
Online Access:https://www.mdpi.com/1911-8074/14/5/225

Internet

https://www.mdpi.com/1911-8074/14/5/225

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