Search Results - subject:"SVCJ"

Hou, Ai Jun; Wang, Weining; Chen, Cathy Y. H.; Härdle, … - In: Journal of financial econometrics 18 (2020) 2, pp. 250-279

Persistent link: https://www.econbiz.de/10012232938

Rodeo or ascot: Which hat to wear at the crypto race?

Häusler, Konstantin; Härdle, Wolfgang - 2021

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

Persistent link: https://www.econbiz.de/10012504530

The economic role of jumps in EUR/USD and USD/JPY exchange rates

Li, Xiao-ping; Zhou, Chun-yang; Wu, Chong-feng - In: Applied economics letters 20 (2013) 13/15, pp. 1440-1444

Persistent link: https://www.econbiz.de/10010203354

Rodeo or ascot : which hat to wear at the crypto race?

Häusler, Konstantin; Härdle, Wolfgang - 2021

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

Persistent link: https://www.econbiz.de/10012500105

Pricing Cryptocurrency options: the case of CRIX and Bitcoin

Chen, Cathy Yi-Hsuan; Härdle, Wolfgang Karl; Hou, Ai Jun; … - 2018

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 …

Persistent link: https://www.econbiz.de/10012433153