A Bayesian Analysis of Return Dynamics with Lévy Jumps

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Speculation and volatility spillover in the crude oil and agricultural commodity markets: A Bayesian analysis (2011, methodology): “Nardari, and Shephard 2002; Jacquier, Polson, and Rossi 2004; Li, Wells, and Yu 2008 ).”
Inference for Lévy‐Driven Stochastic Volatility Models via Adaptive Sequential Monte Carlo (2011, methodology): “We expect that the latter would be required (or the addition of jumps in the volatility), at least, to enable the model to fit well, consistently, although we do not doubt that the model may be useful (because of the results of Li et al., 2008). It may also suffice to introduce richer leverage struc”
Volatility dynamics for the S&P 500: Further evidence from non-affine, multi-factor jump diffusions (2012, methodology): “…distributions by simulating them directly whenever possible (see for example the appendix of Li et al. (2008) for detailed derivations) and whenever this is not feasible we apply the ARMS Metropolis algorithm – see Gilks et al. (1995) or Li et al. (2008) for an application in a similar framework.”