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The Spatial Analysis of Time Series
Park, Joon Y. - Econometric Society - 2004
virtually all diffusion models used in practice. Proposed are several interesting applications of our methodology, such as …
Persistent link: https://www.econbiz.de/10005329026
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Specification Analysis of Option Pricing Models Based on Time-Changed Levy Processes
Huang, Jing-zhi; Wu, Liuren - Econometric Society - 2004
movement and whether stochastic volatility comes from jump or diffusion. We find that, to capture the behavior of the S&P 500 … to include stochastic volatilities from two separate sources: both the jump and the diffusion components …
Persistent link: https://www.econbiz.de/10005699646
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Why Distinguishing Jumps from Volatility is Difficult (But Not Impossible)
Ait-Sahalia, Yacine - Econometric Society - 2004
This paper examines the estimation of parameters of a discretely sampled Markov process whose continuous-time sample paths are generated by a continuous Brownian term and a stochastic jump term, a realistic setting for many financial asset prices. In discretely sampled data, every change in the...
Persistent link: https://www.econbiz.de/10005699685