Frank M. de Pinho, Glaura C. Franco, Ralph S. Silva. Modeling volatility using state space models with heavy tailed distributions. Mathematics and Computers in Simulation, 119:108-127, 2016. [doi]
@article{PinhoFS16,
title = {Modeling volatility using state space models with heavy tailed distributions},
author = {Frank M. de Pinho and Glaura C. Franco and Ralph S. Silva},
year = {2016},
doi = {10.1016/j.matcom.2015.08.005},
url = {http://dx.doi.org/10.1016/j.matcom.2015.08.005},
researchr = {https://researchr.org/publication/PinhoFS16},
cites = {0},
citedby = {0},
journal = {Mathematics and Computers in Simulation},
volume = {119},
pages = {108-127},
}