Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility
نویسندگان
چکیده
منابع مشابه
Estimation of the instantaneous volatility and detection of volatility jumps
Concerning price processes, the fact that the volatility is not constant has been observed for a long time. So we deal with models as dXt = μtdt + σtdWt where σ is a stochastic process. Recent works on volatility modeling suggest that we should incorporate jumps in the volatility process. Empirical observations suggest that simultaneous jumps on the price and the volatility [8, 9] exist. The hy...
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ژورنال
عنوان ژورنال: Review of Economics and Statistics
سال: 2015
ISSN: 0034-6535,1530-9142
DOI: 10.1162/rest_a_00503