Related Books

Inference for a Class of Stochastic Volatility Models in Presence of Jumps
Language: en
Pages:
Authors: Petra Posedel
Categories:
Type: BOOK - Published: 2007 - Publisher:

DOWNLOAD EBOOK

A New Class of Stochastic Volatility Models with Jumps : Theory and Estimation
Language: en
Pages: 35
Authors: CIRANO.
Categories:
Type: BOOK - Published: 1999 - Publisher: Montréal : CIRANO

DOWNLOAD EBOOK

A New Class of Stochastic Volatility Models with Jumps
Language: en
Pages: 37
Authors: Mikhail Chernov
Categories:
Type: BOOK - Published: 2012 - Publisher:

DOWNLOAD EBOOK

The purpose of this paper is to propose a new class of jump diffusions which feature both stochastic volatility and random intensity jumps. Previous studies hav
A Stochastic Volatility Model and Inference for the Term Structure of Interest
Language: en
Pages:
Authors:
Categories:
Type: BOOK - Published: 2004 - Publisher:

DOWNLOAD EBOOK

This thesis builds a stochastic volatility model for the term structure of interest rates, which is also known as the dynamics of the yield curve. The main purp
EGARCH and Stochastic Volatility
Language: en
Pages: 28
Authors: Jouchi Nakajima
Categories: Stochastic processes
Type: BOOK - Published: 2008 - Publisher:

DOWNLOAD EBOOK

"This paper proposes the EGARCH [Exponential Generalized Autoregressive Conditional Heteroskedasticity] model with jumps and heavy-tailed errors, and studies th