Now showing items 1-4 of 4

    • A New Class of Stochastic Volatility Models with Jumps: Theory and Estimation 

      Chernov, Mikhail; Gallant, A Ronald; Ghysels, Eric; Tauchen, George E (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 intensity ...
    • Alternative models for stock price dynamics 

      Chernov, M; Gallant, A Ronald; Ghysels, Eric; Tauchen, George E (Journal of Econometrics, 2003-09-01)
      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 ...
    • Frontiers of financial econometrics and financial engineering 

      Ghysels, Eric; Tauchen, George E (Journal of Econometrics, 2003-09-01)
      The papers in this volume represent the most recent advances in the intersection of the fields of financial econometrics and financial engineering. A collection of papers presented at a conference organized by the Guest ...
    • Periodic Autoregressive Conditional Heteroskedasticity 

      Bollerslev, Tim; Ghysels, Eric (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 seasonal ...