Neto, David; Sardy, Sylvain - In: Quality & Quantity: International Journal of Methodology 46 (2012) 6, pp. 1947-1952
We consider Taylor’s stochastic volatility model (SVM) when the innovations of the hidden log-volatility process have a Laplace distribution (ℓ <Subscript>1</Subscript> exponential density), rather than the standard Gaussian distribution (ℓ <Subscript>2</Subscript>) usually employed. Recently many investigations have employed ℓ <Subscript>1</Subscript>...</subscript></subscript></subscript>