Laurini, Márcio Poletti; Mauad, Roberto Baltieri - In: Finance Research Letters 12 (2015) C, pp. 2-10
We introduce a new multivariate stochastic volatility model, based on the presence of a latent common factor with random jumps. The common factor is parameterized as a permanent component using a compound binomial process. This model can capture common jumps in the latent volatilities between...