Liesenfeld, Roman; Jung, Robert C. - In: Journal of Applied Econometrics 15 (2000) 2, pp. 137-160
Most of the empirical applications of the stochastic volatility (SV) model are based on the assumption that the conditional distribution of returns, given the latent volatility process, is normal. In this paper, the SV model based on a conditional normal distribution is compared with SV...