In this paper we provide a unified methodology for conducting likelihood-based inference on the unknown parameters of a general class of discrete-time stochastic volatility (SV) models, characterized by both a leverage effect and jumps in returns. Given the nonlinear/non-Gaussian state-space...

This paper extends a stochastic conditional duration (SCD) model for financial transaction data to allow for correlation between error processes or innovations of observed duration process and latent log duration process with the aim of improving the statistical fit of the model. Suitable...