Chernov, Mikhail; Gallant, A. Ronald; Ghysels, Eric; … - Centre Interuniversitaire de Recherche en Analyse des … - 1999
The purpose of this paper is to propose a new class of jump diffusions which feature both stochastic volatility and random intensity jumps. Previous studies have focussed primarily on pure jump processes with constant intensity and log-normal jumps or constant jump intensity combined with a one...