Browsing by Author "Ghysels, Eric"

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  • 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 ...
  • Bollerslev, Tim; Ghysels, Eric (Journal of Business and Economic Statistics, 1996)
    Most high-frequency asset returns exhibit seasonal volatility patterns. This article proposes a new class of models featuring periodicity in conditional heteroscedasticity explicitly designed to capture the repetitive ...