Autoregressive Stochastic Volatility Models with Heavy-tailed Distributions: A Comparison with Multifactor Volatility Models

By Manabu Asai. 2008

52 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/1a31ba5688c9f52ba2162da45e58ef43a97f4077

Citations in the corpus

• Alternative Asymmetric Stochastic Volatility Models (2009, unknown): “First, we may work with multi-factors as in Chernov et al. (2003) and Asai (2008), in order to capture tail behavior.”