A New Class of Stochastic Volatility Models with Jumps: Theory and Estimation | Zendy

Mikhail Chernov | Zendy; A. Ronald Gallant | Zendy; Éric Ghysels | Zendy; George Tauchen | Zendy

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A New Class of Stochastic Volatility Models with Jumps: Theory and Estimation

Author(s) -

Mikhail Chernov,

A. Ronald Gallant,

Éric Ghysels,

George Tauchen

Publication year - 1999

Publication title -

ssrn electronic journal

Language(s) - English

Resource type - Journals

ISSN - 1556-5068

DOI - 10.2139/ssrn.189628

Subject(s) - jump , stochastic volatility , mathematics , volatility (finance) , jump process , affine transformation , constant (computer programming) , econometrics , statistical physics , computer science , geometry , physics , quantum mechanics , programming language

The purpose of this paper is to propose a new class of jump diffusions which feature both stochastic volatility and random intensity jumps. Previous studies have focused primarily on pure jump processes with constant intensity and log-normal jumps or constant jump intensity combined with a one factor stochastic volatility model. We introduce several generalizations which can better accommodate several empirical features of returns data. In their most general form we introduce a class of...

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