Econometric analysis of jump-driven stochastic volatility models

62 citations recorded by the source corpus.

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

Variance Risk-Premium Dynamics: The Role of Jumps (2010, methodology): “Under certain regularity conditions, as shown in Todorov (2009b), this has no asymptotic effect on the estimation results in this paper.”
Estimation for Non-Negative Lévy-Driven CARMA Processes (2011, methodology): “Tsai and Chan (2005) showed that the kernel is nonnegative if and only if the ratio b(·)/a(·) is completely monotone.”
The Risk Premia Embedded in Index Options (2015, methodology): “…is at odds with the nonparametric evidence for a gradual decay in the implied jump size for close-to-maturity OTM options in, e.g., Bollerslev and Todorov (2011b).5 This discrepancy motivates an alternative specification for the jump distribution that designates separate parameters to…”
Estimation of continuous-time stochastic volatility models with jumps using high-frequency data (2009, methodology): “Note: In the estimation: (1) we set ζ := V 1 + V 2 and σi := σiv √ V i 2κi for i = 1, 2 and impose the stationarity conditions σ1 + σ2 < ζ and κi > 0 for i = 1, 2 for the Affine Jump-Diffusion Model and (2) we set ζ := b0 ρ1ρ2 ∫ R(2)0 h(x)G(dx) and impose the stationarity conditions (see Todorov and”