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The role of stochastic volatility and return jumps: reproducing volatility and higher moments in the KOSPI 200 returns dynamics

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  • In Kim

    ()

  • In-Seok Baek

    ()

  • Jaesun Noh

    ()

  • Sol Kim

    ()

Abstract

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Suggested Citation

  • In Kim & In-Seok Baek & Jaesun Noh & Sol Kim, 2007. "The role of stochastic volatility and return jumps: reproducing volatility and higher moments in the KOSPI 200 returns dynamics," Review of Quantitative Finance and Accounting, Springer, vol. 29(1), pages 69-110, July.
  • Handle: RePEc:kap:rqfnac:v:29:y:2007:i:1:p:69-110
    DOI: 10.1007/s11156-007-0022-2
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    References listed on IDEAS

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    Citations

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    Cited by:

    1. Jin-Huei Yeh & Jying-Nan Wang & Chung-Ming Kuan, 2014. "A noise-robust estimator of volatility based on interquantile ranges," Review of Quantitative Finance and Accounting, Springer, vol. 43(4), pages 751-779, November.
    2. repec:eee:touman:v:33:y:2012:i:5:p:1141-1147 is not listed on IDEAS
    3. Leonidas S. Rompolis & Elias Tzavalis, 2017. "Retrieving risk neutral moments and expected quadratic variation from option prices," Review of Quantitative Finance and Accounting, Springer, vol. 48(4), pages 955-1002, May.

    More about this item

    Keywords

    Stochastic volatility model; Jump diffusion model; Efficient method of moments; Reprojection; Markov Chain Monte Carlo; Option pricing implications; C14; C15; C52; C53; G13;

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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