Sequential Modeling of Dependent Jump Processes

Jan-Frederik Mai, Matthias Scherer and Thorsten Schulz introduce two multivariate models for asset returns. The first is a double exponential jump-diffusion model with constant volatility as presented in the univariate case by Kou (2002). The second is a generalization of the stochastic volatility model of Gamma–Ornstein–Uhlenbeck type as first presented by Barndorff-Nielsen and Shephard (2001)

20 June 2018 Editor Wilmott Inner Circle Comments Off on Sequential Modeling of Dependent Jump Processes

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