Pinho, Frank M. de; Santos, Thiago R. dos - In: Journal of statistical and econometric methods 2 (2013) 2, pp. 107-126
This paper estimates the volatility of most important European stock market indices during the global financial crisis … started in 2008, such as DAX, CAC40, FTSE100, among others. The estimation of volatility is made from a new family of … stochastic volatility models proposed by Santos, Franco, Gamerman [33, 17] and extended to distributions of heavy tails by Pinho …
