Box-Cox stochastic volatility models with heavy-tails and correlated errors

Research output: Contribution to journal › Article › Research › peer-review

14 Citations (Scopus)

Original language	English
Pages (from-to)	549 - 566
Number of pages	18
Journal	Journal of Empirical Finance
Volume	15
Issue number	3
DOIs	https://doi.org/10.1016/j.jempfin.2007.05.002
Publication status	Published - 2008

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@article{15b307e7f63f4ddd81e9988d0456afcd,

title = "Box-Cox stochastic volatility models with heavy-tails and correlated errors",

author = "Xibin Zhang and King, {Maxwell Leslie}",

year = "2008",

doi = "10.1016/j.jempfin.2007.05.002",

language = "English",

volume = "15",

pages = "549 -- 566",

journal = "Journal of Empirical Finance",

issn = "0927-5398",

publisher = "Elsevier",

number = "3",

}

TY - JOUR

T1 - Box-Cox stochastic volatility models with heavy-tails and correlated errors

AU - Zhang, Xibin

AU - King, Maxwell Leslie

PY - 2008

Y1 - 2008

UR - http://dx.doi.org/10.1016/j.jempfin.2007.05.002

U2 - 10.1016/j.jempfin.2007.05.002

DO - 10.1016/j.jempfin.2007.05.002

M3 - Article

SN - 0927-5398

VL - 15

SP - 549

EP - 566

JO - Journal of Empirical Finance

JF - Journal of Empirical Finance

IS - 3

ER -