Volatility dynamics for the S&P 500: Further evidence from non-affine, multi-factor jump diffusions
Year of publication: |
2012
|
---|---|
Authors: | Kaeck, Andreas ; Alexander, Carol |
Published in: |
Journal of Banking & Finance. - Elsevier, ISSN 0378-4266. - Vol. 36.2012, 11, p. 3110-3121
|
Publisher: |
Elsevier |
Subject: | Gibbs sampler | Instantaneous volatility dynamics | MCMC | Particle filter | S&P 500 options | VIX |
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