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Box-Cox stochastic volatility models with heavy-tails and correlated errors · Study

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ArticleBox-Cox stochastic volatility models with heavy-tails and correlated errors

Xibin Zhang2007

Article2007

Box-Cox stochastic volatility models with heavy-tails and correlated errors

Xibin Zhang · Maxwell L. King

34 citations·0/0 files stored·Journal of Empirical Finance

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Markov Chains and Monte Carlo Methods

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References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1987The Pricing of Options on Assets with Stochastic Volatilities 1993Measuring and Testing the Impact of News on Volatility 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices 1998Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models 1991Stock Price Distributions with Stochastic Volatility: An Analytic Approach

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2016Investigating the risk-return trade-off for crude oil futures using high-frequency data 2008Beta-t-(E)GARCH

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Year2007

Typearticle

Published2007-11-27

VenueJournal of Empirical Finance

ISSN-L0927-5398

Languageen

Citations34

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jempfin.2007.05.002

openalex_workW1998904892

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