CIRJE-F- 514. Nakajima, Jouchi and Yasuhiro Omori, "Leverage, heavy-tails and correlated jumps in stochastic volatility models", September 2007.

This paper proposes the efficient and fast Markov chain Monte Carlo estimation methods for the stochastic volatility model with leverage effects, heavy-tailed errors and jump components, and for the stochastic volatility model with correlated jumps. Our method is illustrated using simulated data and analyze daily stock returns data on S&P500 index and TOPIX. Model comparisons are conducted based on the marginal likelihood for various SV models including the superposition model.