Andersen, Torben G.; Benzoni, Luca; Lund, Jesper - In: Journal of Finance 57 (2002) 3, pp. 1239-1284
This paper extends the class of stochastic volatility diffusions for asset returns to encompass Poisson jumps of time-varying intensity. We find that any reasonably descriptive continuous-time model for equity-index returns must allow for discrete jumps as well as stochastic volatility with a...