Finance and Economics Discussion Series: Bayesian Analysis of Stochastic Volatility Models with Levy Jumps: Application to Risk Analysis

By Pawel J. Szerszen

In this paper I analyze a broad class of continuous-time jump diffusion models of asset returns. In the models, stochastic volatility can arise either from a diffusion part, or a jump part, or both.... This description may be from another edition of this product.

• Format: Paperback
• Language: English
• ISBN: 1288704771
• ISBN13: 9781288704774
• Release Date: February 2013
• Publisher: Bibliogov
• Length: 56 Pages
• Weight: 0.26 lbs.
• Dimensions: 0.1" x 7.4" x 9.7"