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Ahsan N, Dufour J (2021). “Simple estimators and inference for higher-order stochastic volatility models.” Journal of Econometrics, 224(1), 181–197. doi:10.1016/j.jeconom.2020.01.018.
Ahsan N, Dufour J, Rodriguez Rondon G (2025). “Estimation and inference for higher-order stochastic volatility models with leverage.” Journal of Time Series Analysis.
Ahsan N, Dufour J, Rodriguez Rondon G (2025). “Estimation and inference for stochastic volatility models with heavy-tailed distributions.” Working paper.
Corresponding BibTeX entries:
@Article{,
title = {Simple estimators and inference for higher-order
stochastic volatility models},
author = {Nazmul Ahsan and Jean-Marie Dufour},
journal = {Journal of Econometrics},
year = {2021},
volume = {224},
number = {1},
pages = {181--197},
doi = {10.1016/j.jeconom.2020.01.018},
}
@Article{,
title = {Estimation and inference for higher-order stochastic
volatility models with leverage},
author = {Nazmul Ahsan and Jean-Marie Dufour and Gabriel {Rodriguez
Rondon}},
journal = {Journal of Time Series Analysis},
year = {2025},
}
@Unpublished{,
title = {Estimation and inference for stochastic volatility models
with heavy-tailed distributions},
author = {Nazmul Ahsan and Jean-Marie Dufour and Gabriel {Rodriguez
Rondon}},
year = {2025},
note = {Working paper},
}
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