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Browsing Scholarly Articles by Author "0117212"

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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 ...
  • Bansal, Ravi; Gallant, A. Ronald; Tauchen, George (SSRN eLibrary, 1999)
    estimates and examines the empirical plausibility of asset pricing models that attempt to explain features of financial markets such as the size of the equity premium and the volatility of the stock market. In one model, ...