The role of stochastic volatility and return jumps: reproducing volatility and higher moments in the KOSPI 200 returns dynamics
| Year of publication: |
2007
|
|---|---|
| Authors: | Kim, In ; Baek, In-Seok ; Noh, Jaesun ; Kim, Sol |
| Published in: |
Review of Quantitative Finance and Accounting. - Springer. - Vol. 29.2007, 1, p. 69-110
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| Publisher: |
Springer |
| Subject: | Stochastic volatility model | Jump diffusion model | Efficient method of moments | Reprojection | Markov Chain Monte Carlo | Option pricing implications |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10005701232