Ahsan M, 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.2021.03.008.

Ahsan M, Dufour J, Rodriguez-Rondon G (2025). “Estimation and Inference for Higher-Order Stochastic Volatility Models with Leverage.” Journal of Time Series Analysis, 46(6), 1064–1084. doi:10.1111/jtsa.12851.

Ahsan M, Dufour J, Rodriguez-Rondon G (2026). “Estimation and Inference for Stochastic Volatility Models with Heavy-Tailed Distributions.” Staff Working Paper 2026-8, Bank of Canada. doi:10.34989/swp-2026-8. Reference for the heavy-tailed and GED leverage estimators, the filtering methods, and the information-criterion AR-order selection.

Corresponding BibTeX entries:

  @Article{,
    title = {Simple estimators and inference for higher-order
      stochastic volatility models},
    author = {Md. Nazmul Ahsan and Jean-Marie Dufour},
    journal = {Journal of Econometrics},
    year = {2021},
    volume = {224},
    number = {1},
    pages = {181--197},
    doi = {10.1016/j.jeconom.2021.03.008},
  }

  @Article{,
    title = {Estimation and Inference for Higher-Order Stochastic
      Volatility Models with Leverage},
    author = {Md. Nazmul Ahsan and Jean-Marie Dufour and Gabriel
      Rodriguez-Rondon},
    journal = {Journal of Time Series Analysis},
    year = {2025},
    volume = {46},
    number = {6},
    pages = {1064--1084},
    doi = {10.1111/jtsa.12851},
  }

  @TechReport{,
    title = {Estimation and Inference for Stochastic Volatility Models
      with Heavy-Tailed Distributions},
    author = {Md. Nazmul Ahsan and Jean-Marie Dufour and Gabriel
      Rodriguez-Rondon},
    institution = {Bank of Canada},
    type = {Staff Working Paper},
    number = {2026-8},
    year = {2026},
    doi = {10.34989/swp-2026-8},
    note = {Reference for the heavy-tailed and GED leverage estimators,
      the filtering methods, and the information-criterion AR-order
      selection.},
  }