Langrock, Roland; MacDonald, Iain L.; Zucchini, Walter - In: Journal of Empirical Finance 19 (2012) 1, pp. 147-161
We introduce a number of nonstandard stochastic volatility (SV) models and examine their performance when applied to the series of daily returns on several stocks listed on the New York Stock Exchange. The nonstandard models under investigation extend both the observation process and the...