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.
Aldizkaria:
Computational Statistics and Data Analysis

ISSN: 0167-9473

Argitalpen urtea: 2009

Alea: 53

Zenbakia: 10

Orrialdeak: 3593-3600

Mota: Artikulua

DOI: 10.1016/J.CSDA.2009.02.026 GOOGLE SCHOLAR