Score-Driven Modeling with Jumps: An Application to S&P500 Returns and Options
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Cited by:
- Ramon de Punder & Timo Dimitriadis & Rutger-Jan Lange, 2024.
"Kullback-Leibler-based characterizations of score-driven updates,"
Papers
2408.02391, arXiv.org, revised Sep 2024.
- Ramon de Punder & Timo Dimitriadis & Rutger-Jan Lange, 2024. "Kullback-Leibler-based characterizations of score-driven updates," Tinbergen Institute Discussion Papers 24-051/III, Tinbergen Institute, revised 22 Oct 2024.
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More about this item
Keywords
time-varying volatility; compound Poisson; observation-driven models; stationarity and ergodicity; option pricing; JEL Codes: C510; C530; C580;All these keywords.
JEL classification:
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
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