Browsing by Subject "stochastic volatility"

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    • Data-Driven Jump Detection Thresholds for Application in Jump Regressions 

      Tauchen, GE; Davies, R (Economic Research Initiatives at Duke (ERID), 2015-09-17)
      This paper develops a method to select the threshold in threshold-based jump detection methods. The method is motivated by an analysis of threshold-based jump detection methods in the context of jump-diffusion models. We ...