Maneesoonthorn, Worapree; Forbes, Catherine S.; Martin, … - Department of Econometrics and Business Statistics, … - 2014
Dynamic jumps in the price and volatility of an asset are modelled using a joint Hawkes process in conjunction with a bivariate jump diffusion. A state space representation is used to link observed returns, plus nonparametric measures of integrated volatility and price jumps, to the specified...