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Specification and estimation of discrete time quadratic stochastic volatility models

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  • Kawakatsu, Hiroyuki

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  • Kawakatsu, Hiroyuki, 2007. "Specification and estimation of discrete time quadratic stochastic volatility models," Journal of Empirical Finance, Elsevier, vol. 14(3), pages 424-442, June.
    • Handle: RePEc:eee:empfin:v:14:y:2007:i:3:p:424-442
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    2. Rodríguez, Mª José, 2009. "GARCH models with leverage effect : differences and similarities," DES - Working Papers. Statistics and Econometrics. WS ws090302, Universidad Carlos III de Madrid. Departamento de Estadística.

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