Testing for volatility jumps in the stochastic volatility process

DOI10.1007/s10690-006-9016-7zbMath1134.91435MaRDI QIDQ862565

Masahito Kobayashi

Publication date: 24 January 2007

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-006-9016-7

zbMATH Keywords

jump process; Lagrange multiplier test; stochastic volatility process

Mathematics Subject Classification ID

91B70: Stochastic models in economics

Related Items

Testing for volatility jumps in the stochastic volatility process, Leverage, heavy-tails and correlated jumps in stochastic volatility models

Cites Work

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