Wang, Joanna J.J. - In: Mathematics and Computers in Simulation (MATCOM) 82 (2012) 11, pp. 2079-2095
In stochastic volatility (SV) models, asset returns conditional on the latent volatility are usually assumed to have a normal, Student-t or exponential power (EP) distribution. An earlier study uses a generalised t (GT) distribution for the conditional returns and the results indicate that the...