Christoffersen, Peter; Jacobs, Kris; Ornthanalai, Chayawat - Centre Interuniversitaire de Recherche en Analyse des … - 2009
Standard empirical investigations of jump dynamics in returns and volatility are fairly complicated due to the presence of latent continuous-time factors. We present a new discrete-time framework that combines heteroskedastic processes with rich specifications of jumps in returns and volatility....
