A common jump factor stochastic volatility model
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More about this item
KeywordsStochastic volatility; MCMC; Jump process; Regime changes;
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
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