Takahashi, Makoto; Watanabe, Toshiaki; Omori, Yasuhiro - Center for International Research on the Japanese … - 2014
The realized stochastic volatility model of Takahashi, Omori, and Watanabe (2009), which incorporates the asymmetric stochastic volatility model with the realized volatility, is extended by employing a wider class distribution, the generalized hyperbolic skew Student's t-distribution, for...