time diffusion models ; models with jumps ; stochastic volatility ; GARCH …

In this paper we present an exact maximum likelihood treatment forthe estimation of a Stochastic Volatility in Mean …(SVM) model based on Monte Carlo simulation methods. The SVM modelincorporates the unobserved volatility as anexplanatory variable … Stochastic Volatility (SV)model. However, efficient Monte Carlo simulationmethods for SV models have been developed to overcome …

can generate a plausible disaggregation of the conditional variance process, in which the components' volatility dynamics …