Chang, Yoosoon; Choi, Yongok; Kim, Hwagyun; Park, Joon Y. - In: Quantitative Economics 7 (2016) 3, pp. 889-933
consider a continuous-time multifactor model via a continuous-time multivariate regression model incorporating realistic … empirical features, such as persistent stochastic volatilities with leverage effects. We find that the conventional regression …