Browsing Research Output by Author "0ae2d6df-8222-48cf-ba7f-850b5b6b9a4e"
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Fourier inference for stochastic volatility models with heavy-tailed innovations
Ebner, Bruno; Meintanis, Simos G.; Klar, Bernhard (Springer, 2018)We consider estimation of stochastic volatility models which are driven by a heavy-tailed innovation distribution. Exploiting the simple structure of the characteristic function of suitably transformed observations we ...