Score-driven modeling with jumps : an application to S&P500 returns and options
Luca Vincenzo Ballestra, Enzo D'Innocenzo, and Andrea Guizzardi
| Year of publication: |
2024
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|---|---|
| Authors: | Ballestra, Luca Vincenzo ; D'Innocenzo, Enzo ; Guizzardi, Andrea |
| Published in: |
Journal of financial econometrics. - Oxford : Oxford University Press, ISSN 1479-8417, ZDB-ID 2065613-0. - Vol. 22.2024, 2, p. 375-406
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| Subject: | time-varying volatility | compound Poisson | observation-driven models | stationarityand ergodicity | option pricing | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process |
| Description of contents: | Description [doi.org] |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nbad001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014526331