Maximum likelihood estimation of the double exponential jump-diffusion process
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- Darrell Duffie & Jun Pan & Kenneth Singleton, 2000.
"Transform Analysis and Asset Pricing for Affine Jump-Diffusions,"
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- John M. Maheu & Thomas H. McCurdy, 2003. "News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns," CIRANO Working Papers 2003s-38, CIRANO.
- David S. Bates, 2003. "Maximum Likelihood Estimation of Latent Affine Processes," NBER Working Papers 9673, National Bureau of Economic Research, Inc.
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- René Garcia & Eric Ghysels & Éric Renault, 2004. "The Econometrics of Option Pricing," CIRANO Working Papers 2004s-04, CIRANO.
- Mark Broadie & Yusaku Yamamoto, 2003. "Application of the Fast Gauss Transform to Option Pricing," Management Science, INFORMS, vol. 49(8), pages 1071-1088, August.
- Bjørn Eraker & Michael Johannes & Nicholas Polson, 2003. "The Impact of Jumps in Volatility and Returns," Journal of Finance, American Finance Association, vol. 58(3), pages 1269-1300, 06.
- S. James Press, 1967. "A Compound Events Model for Security Prices," The Journal of Business, University of Chicago Press, vol. 40, pages 317.
- Torben G. Andersen & Luca Benzoni & Jesper Lund, 2002.
"An Empirical Investigation of Continuous-Time Equity Return Models,"
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- Torben G. Andersen & Luca Benzoni & Jesper Lund, 2001. "An Empirical Investigation of Continuous-Time Equity Return Models," NBER Working Papers 8510, National Bureau of Economic Research, Inc.
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