Witzany, Jiří - In: Prague Economic Papers 2013 (2013) 2, pp. 251-283
We formulate a bivariate stochastic volatility jump-diffusion model with correlated jumps and volatilities. An MCMC Metropolis-Hastings sampling algorithm is proposed to estimate the model´s parameters and latent state variables (jumps and stochastic volatilities) given observed returns. The...