volatility with correlated jumps (SVCJ) model in combination with several rolling windows, it is possible to capture the extreme …

volatility with correlated jumps (SVCJ) model in combination with several rolling windows, it is possible to capture the extreme …

presented. After a careful econometric pre-analysis we motivate an affine jump diffusion model, i.e., the SVCJ (Stochastic … Volatility with Correlated Jumps) model. We calibrate SVCJ by MCMC and obtain interpretable jump processes and then via …