Testing for jumps in the stochastic volatility models
Year of publication: |
2009
|
---|---|
Authors: | Kobayashi, Masahito |
Published in: |
Mathematics and Computers in Simulation (MATCOM). - Elsevier, ISSN 0378-4754. - Vol. 79.2009, 8, p. 2597-2608
|
Publisher: |
Elsevier |
Subject: | Davies Problem | Dirac’s delta function | Jump process | Lagrange multiplier test | Stochastic volatility process |
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