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Multiscale Stochastic Volatility Model with Heavy Tails and Leverage Effects.

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Bibliographic Details
Title: Multiscale Stochastic Volatility Model with Heavy Tails and Leverage Effects.
Authors: Zhongxian Men1 zmen@uwaterloo.ca, Wirjanto, Tony S.1,2 twirjanto@uwaterloo.ca, Kolkiewicz, Adam W.1 wakolkiewicz@uwaterloo.ca
Source: Journal of Risk & Financial Management. May2021, Vol. 14 Issue 5, p1-28. 28p.
Database: Business Source Ultimate
Description
ISSN:19118066
DOI:10.3390/jrfm14050225