Browsing by Subject "random intensity jumps"

Now showing items 1-1 of 1

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

      Chernov, Mikhail; Gallant, A Ronald; Ghysels, Eric; Tauchen, George (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 ...