Shirota, Shinichiro; Hizu, Takayuki; Omori, Yasuhiro - In: Computational Statistics & Data Analysis 76 (2014) C, pp. 618-641
The daily return and the realized volatility are simultaneously modeled in the stochastic volatility model with … leverage and long memory. The dependent variable in the stochastic volatility model is the logarithm of the squared return, and …