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  @Unpublished{,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},
  }