Book of Donmon Teith

This paper extends the multiscale stochastic volatility (MSSV) models to allow for heavy tails of the marginal distribution of the asset returns and correlation

We develop a new stochastic volatility model that captures the three most important features of stock index returns: negative correlation between returns and fu

"This paper proposes the EGARCH [Exponential Generalized Autoregressive Conditional Heteroskedasticity] model with jumps and heavy-tailed errors, and studies th

This paper investigates three formulations of the leverage effect in a stochastic volatility model with a skewed and heavy-tailed observation distribution. The