GARCH-jump models of metal price returns, while allowing for sudden movements (jumps), apply the same specification of the jump component in both 'bear'and 'bull' markets. As a result, the more frequent but relatively small jumps that occur in both bear and bull markets dominate the...

This paper evaluates the role of various volatility specifications, such as multiple stochastic volatility (SV) factors and jump components, in appropriate modeling of equity return distributions. We use estimation technology that facilitates non-nested model comparisons and use a long data set...

The paper estimates the speed of convergence of the Euler approximation for diffussion processes with jump component which have Holder continuous coefficients.

This paper develops a dynamic framework for efficient quantitative risk assessment from the simplest general risk, combining three parameters (contamination, exposure, and dose response) in a Kataoka safety-first model and a Poisson probability representing the uncertainty effect or jump...

This paper develops a dynamic framework for efficient quantitative risk assessment from the simplest general risk, combining three parameters (contamination, exposure, and dose response) in a Kataoka safety-first model and a Poisson probability representing the uncertainty effect or jump...