Kaeck, Andreas; Alexander, Carol - In: Journal of Banking & Finance 36 (2012) 11, pp. 3110-3121
We apply Markov chain Monte Carlo methods to time series data on S&P 500 index returns, and to its option prices via a term structure of VIX indices, to estimate 18 different affine and non-affine stochastic volatility models with one or two variance factors, and where jumps are allowed in both...