This paper studies a class of tractable jump-diffusion models,including stochastic volatility models with self-exciting jumpsfor stock returns and variance processes. We employ the Markovchain Monte Carlo (MCMC) method to implement model estimation, andinvestigate the performance of all models...

The generalized likelihood ratio (GLR) method is a recently introduced gradient estimation method for handling discontinuities in a wide range of sample performances. We put the GLR methods from previous work into a single framework, simplify regularity conditions to justify the unbiasedness of...