We develop novel methods for estimation and filtering of continuous-time models with stochastic volatility and jumps …

A structural model with stochastic volatility and jumps implies particular relationships between observed equity … to identify the realized jumps of individual equity from high frequency data. Our empirical results suggest that …. The estimated nonlinear effects of volatility and jumps are in line with the model implied relationships between equity …

stability of the risk-neutral dynamics over a given period of time. A large-scale Monte Carlo study indicates that the inference … events, i.e., jumps, as well as a more exible relation between the risk premia and the level of risk. We show that both …

inference procedures work well for empirically realistic model specifications and sample sizes. In an empirical application to S … extreme events, i.e., jumps, as well as a more flexible relation between the risk premia and the level of risk. We show that …