Work

Autoregressive stochastic volatility models with heavy-tailed distributions: A comparison with multifactor volatility models

Year: 2007

Type: article

Source: Journal of Empirical Finance

DOI: 10.1016/j.jempfin.2006.06.006

Author: Manabu Asai

Institution: Soka University

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

Funder: Ministry of Education, Culture, Sports, Science and Technology

OpenAlex ID: W2135809069

FWCI: 6.506

Cites: 37

Cited by: 48

Related to: 10