Griffin, J. E. - In: Journal of Financial Econometrics 9 (2011) 3, pp. 519-549
This paper describes a Bayesian nonparametric approach to volatility estimation. Volatility is assumed to follow a superposition of an infinite number of Ornstein--Uhlenbeck processes driven by a compound Poisson process with a parametric or nonparametric jump size distribution. This model...