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Bayesian estimation of the stochastic volatility model with double exponential jumps |
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| Authors: | Li Jinzhi |
| Affiliation: | 1.College of Sciences, Minzu University of China, Beijing, 100081, China ; |
| Abstract: | Review of Derivatives Research - This paper generalizes the stochastic volatility model to allow for the double exponential jumps. To derive the jumps and time-varying volatility in returns, we... |
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