A note on the properties of power-transformed returns in long-memory stochastic volatility models with leverage effect

  1. Pérez, A.
  2. Ruiz, E.
  3. Veiga, H.
Journal:
Computational Statistics and Data Analysis

ISSN: 0167-9473

Year of publication: 2009

Volume: 53

Issue: 10

Pages: 3593-3600

Type: Article

DOI: 10.1016/J.CSDA.2009.02.026 GOOGLE SCHOLAR