The volatility of financial returns changes over time and, for the last thirty years, Generalized Autoregressive Conditional Heteroscedasticity (GARCH) models h

The volatility of financial returns changes over time and, for the last thirty years, Generalized Autoregressive Conditional Heteroscedasticity (GARCH) models h

Heavy tails –extreme events or values more common than expected –emerge everywhere: the economy, natural events, and social and information networks are jus

In commemoration of the bicentennial of the birth of the “lady who gave the rose diagram to us”, this special contributed book pays a statistical tribute to

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