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 its error distribution is approximated by a mixture of...
