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Browsing by Author "Chernov, Mikhail"

DukeSpace

Browsing by Author "Chernov, Mikhail"

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  • Alternative models for stock price dynamics
    Chernov, Mikhail; Gallant, A. Ronald; Ghysels, Eric; Tauchen, George (Journal of Econometrics, 2003)
    This paper evaluates the role of various volatility specifications, such as multiple stochastic volatility (SV) factors and jump components, in appropriate modeling of equity return distributions. We use estimation technology ...
  • A New Class of Stochastic Volatility Models with Jumps: Theory and Estimation
    Chernov, Mikhail; Gallant, A. Ronald; Ghysels, Eric; Tauchen, George (SSRN eLibrary, 1999)
    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 have focused primarily on pure jump processes with constant ...