A stochastic volatility model with random level shifts and its applications to S&P 500 and NASDAQ return indices
| Year of publication: |
2013
|
|---|---|
| Authors: | Qu, Zhongjun ; Perron, Pierre |
| Published in: |
Econometrics Journal. - Royal Economic Society - RES. - Vol. 16.2013, 3, p. 309-339
|
| Publisher: |
Royal Economic Society - RES |