Eraker, Bjørn; Johannes, Michael; Polson, Nicholas - In: Journal of Finance 58 (2003) 3, pp. 1269-1300
This paper examines continuous-time stochastic volatility models incorporating jumps in returns and volatility. We develop a likelihood-based estimation strategy and provide estimates of parameters, spot volatility, jump times, and jump sizes using S&P 500 and Nasdaq 100 index returns. Estimates...