Men, Zhongxian; Wirjanto, Tony S.; Kolkiewicz, Adam W. - In: Journal of risk and financial management : JRFM 14 (2021) 5, pp. 1-28
This paper studies multiscale stochastic volatility models of financial asset returns. It specifies two components in the log-volatility process and allows for leverage/asymmetric effects from both components while return innovation terms follow a heavy/fat tailed Student t distribution. The two...