Wang, Kent; Guo, Yuqiang - In: Australian Journal of Management 39 (2014) 3, pp. 369-394
volatilities. We change the constant jump intensity as in the Liu et al. and Du models with time-varying intensity following an … autoregressive conditional jump intensity process and a squared Bessel process, and apply calibrated jump premiums to predict excess … autoregressive conditional jump intensity process of jump intensity predicts excess returns better, and the squared bessel process …