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Nakajima, J. and Omori, Y. (2008) Leverage, Heavy-Tails and Correlated Jumps in Stochastic Volatility Models. Computational Statistics and Data Analysis, 53, 2335-2353.
http://econpapers.repec.org/scripts/redir.pf?u=http%3A%2F%2Fwww.cirje.e.u-tokyo.ac.jp%2Fresearch%2Fdp%2F2007%2F2007cf514.pdf;h=repec:tky:fseres:2007cf514

has been cited by the following article:

• TITLE: Stock Exchanges Comparison between Mainland China and H.K. Based on the SVL Model

  AUTHORS: Jiahui Lin

  KEYWORDS: Volatility, Time Series Model, SV Model, Leverage, GARCH, MCMC Estimation

  JOURNAL NAME: Open Journal of Statistics, Vol.7 No.3, May 11, 2017

  ABSTRACT: In this paper, we consider the leverage effect on the CSI 300 Index yield and Hong Kong Hang Seng Index yield. It is modeled by the SV model with leverage. In this model, we compare the mainland and the Hong Kong stock market with stock market long-term effect, the degree on fluctuation reply and leverage effect so on. The analysis results show that the leverage stochastic volatility model can well fitting rate of return on the CSI300 index and the Hang Seng index in Hong Kong; The Shanghai and Shenzhen stock market volatility and leverage effect obviously stronger than the Hong Kong stock market.