The extension from independence to dependence between jump frequency and jump size in Markov-modulated jump diffusion models
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DOI: 10.1016/j.najef.2016.04.003
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- Cheng, Hung-Wen & Lo, Chien-Ling & Tsai, Jeffrey Tzuhao, 2020. "Model specification of conditional jump intensity: Evidence from S&P 500 returns and option prices," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
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Keywords
Markov-modulated jump models; EM-gradient algorithm; SEM algorithm;All these keywords.
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