Bayesian estimation of the stochastic volatility model with double exponential jumps
Author:
Publisher
Springer Science and Business Media LLC
Subject
Economics, Econometrics and Finance (miscellaneous),Finance
Link
https://link.springer.com/content/pdf/10.1007/s11147-020-09173-1.pdf
Reference20 articles.
1. Asgharian, H., & Bengtsson, C. (2006). Jump Spillover in International Equity Mar kets. Journal of Financial Econometrics, 4(2), 167–203.
2. Bates, D. (1996). Jumps and stochastic volatility: Exchange rate processes implicit in Deutsche Mark options. Review of Financial Studies, 9, 69–107.
3. Boscher, H., Fronk, E. M., & Pigeot, I. (2000). Forecasting interest rates volatilities by GARCH (1,1) and stochastic volatility models. Statistical Papers, 41(4), 409–422.
4. Chan, J. C. C., & Hsiao, C. Y. L. (2013). Estimation of Stochastic Volatility Models with Heavy Tails and Serial Dependence. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.2359838.
5. Das, S. R., & Foresi, S. (1996). Exact Solutions for Bond and Option Prices with Systematic Jump Risk. Review of Derivatives Research, 1, 7–24.
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