Asai, Manabu - In: Mathematics and Computers in Simulation (MATCOM) 79 (2009) 8, pp. 2579-2596
Stochastic volatility (SV) models usually assume that the distribution of asset returns conditional on the latent volatility is normal. This article analyzes SV models with a mixture-of-normal distributions in order to compare with other heavy-tailed distributions such as the Student-t...