Hachicha, Ahmed; Hachicha, Fatma; Masmoudi, Afif - In: Asian Economic and Financial Review 3 (2013) 4, pp. 553-559
The present paper presents a theoretical extension of our earlier work entitled“A comparative study of two models SV with MCMC algorithm” cited, Rev Quant Finan Acc (2012) 38:479-493 DOI 10.1007/s11156-011-0236-1 where we propose initially a mixture stochastic volatility model providing a...
