This paper makes two contributions: (1) it presents estimates of a continuous-time stochastic-volatility jump-diffusion process (SVJD) using a simulation-based estimator, and (2) it shows that misspecified models that allow for jumps, but not stochastic volatility, can give very bad estimates of ...
Enlace original:
https://repositorio.uahurtado.cl/handle/11242/1745
Craine, Roger
,
Lochstoer, Lars A.
,
Syrtveit, Knut
,
[Estimation of a Stochastic-Volatility Jump-Diffusion Model]
,
Estimation of a Stochastic-Volatility Jump-Diffusion Model
