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Estimation of Stochastic Volatility Models with Diagnostics

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Cited by:

  1. Sassan Alizadeh & Michael W. Brandt & Francis X. Diebold, 1999. "Range-Based Estimation of Stochastic Volatility Models or Exchange Rate Dynamics are More Interesting Than You Think," Center for Financial Institutions Working Papers 00-28, Wharton School Center for Financial Institutions, University of Pennsylvania.
  2. Daniël Vullings, 2016. "Contingent convertible bonds with floating coupon payments: fixing the equilibrium problem," DNB Working Papers 517, Netherlands Central Bank, Research Department.
  3. Kanaya, Shin & Kristensen, Dennis, 2016. "Estimation Of Stochastic Volatility Models By Nonparametric Filtering," Econometric Theory, Cambridge University Press, vol. 32(4), pages 861-916, August.
  4. Jensen, Mark J. & Maheu, John M., 2010. "Bayesian semiparametric stochastic volatility modeling," Journal of Econometrics, Elsevier, vol. 157(2), pages 306-316, August.
  5. Charles S. Bos, 2011. "Relating Stochastic Volatility Estimation Methods," Tinbergen Institute Discussion Papers 11-049/4, Tinbergen Institute.
  6. Arvanitis Stelios & Demos Antonis, 2018. "On the Validity of Edgeworth Expansions and Moment Approximations for Three Indirect Inference Estimators," Journal of Econometric Methods, De Gruyter, vol. 7(1), pages 1-38, January.
  7. Sofia Anyfantaki & Antonis Demos, 2016. "Estimation and Properties of a Time-Varying EGARCH(1,1) in Mean Model," Econometric Reviews, Taylor & Francis Journals, vol. 35(2), pages 293-310, February.
  8. Carmen Broto & Esther Ruiz, 2004. "Estimation methods for stochastic volatility models: a survey," Journal of Economic Surveys, Wiley Blackwell, vol. 18(5), pages 613-649, December.
  9. Pascale VALERY (HEC-Montreal) & Jean-Marie Dufour (University of Montreal), 2004. "A simple estimation method and finite-sample inference for a stochastic volatility model," Econometric Society 2004 North American Summer Meetings 153, Econometric Society.
  10. Donald W. K. Andrews, 1999. "Consistent Moment Selection Procedures for Generalized Method of Moments Estimation," Econometrica, Econometric Society, vol. 67(3), pages 543-564, May.
  11. Paolo Girardello & Orietta Nicolis & Giovanni Tondini, 2003. "Comparing Conditional Variance Models: Theory and Empirical Evidence," Multinational Finance Journal, Multinational Finance Journal, vol. 7(3-4), pages 177-206, September.
  12. Eduardo Rossi & Paolo Santucci de Magistris, 2018. "Indirect inference with time series observed with error," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(6), pages 874-897, September.
  13. Georgios Tsiotas, 2009. "On the use of non-linear transformations in Stochastic Volatility models," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 18(4), pages 555-583, November.
  14. Christos Floros & Konstantinos Gkillas & Christoforos Konstantatos & Athanasios Tsagkanos, 2020. "Realized Measures to Explain Volatility Changes over Time," JRFM, MDPI, vol. 13(6), pages 1-19, June.
  15. Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2006. "Volatility and Correlation Forecasting," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 15, pages 777-878, Elsevier.
  16. Travis Sapp, 2009. "Estimating continuous-time stochastic volatility models of the short-term interest rate: a comparison of the generalized method of moments and the Kalman filter," Review of Quantitative Finance and Accounting, Springer, vol. 33(4), pages 303-326, November.
  17. Andersen, Torben G & Bollerslev, Tim, 1997. "Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns," Journal of Finance, American Finance Association, vol. 52(3), pages 975-1005, July.
  18. Assaf, Ata, 2006. "The stochastic volatility in mean model and automation: Evidence from TSE," The Quarterly Review of Economics and Finance, Elsevier, vol. 46(2), pages 241-253, May.
  19. Lombardi, Marco J. & Calzolari, Giorgio, 2009. "Indirect estimation of [alpha]-stable stochastic volatility models," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2298-2308, April.
  20. Tsyplakov, Alexander, 2010. "Revealing the arcane: an introduction to the art of stochastic volatility models," MPRA Paper 25511, University Library of Munich, Germany.
  21. Zhang, Xibin & King, Maxwell L., 2008. "Box-Cox stochastic volatility models with heavy-tails and correlated errors," Journal of Empirical Finance, Elsevier, vol. 15(3), pages 549-566, June.
  22. Lux, Thomas & Morales-Arias, Leonardo, 2010. "Relative forecasting performance of volatility models: Monte Carlo evidence," Kiel Working Papers 1582, Kiel Institute for the World Economy (IfW Kiel).
  23. Tauchen, George E., 1995. "New Minimum Chi-Square Methods in Empirical Finance," Working Papers 95-42, Duke University, Department of Economics.
  24. Alexander Tsyplakov, 2010. "Revealing the arcane: an introduction to the art of stochastic volatility models (in Russian)," Quantile, Quantile, issue 8, pages 69-122, July.
  25. Wu, Feng & Guan, Zhengfei, 2014. "Efficient Estimation of Risk Attitude with Seminonparametric Risk Modeling," 2014 Annual Meeting, July 27-29, 2014, Minneapolis, Minnesota 170625, Agricultural and Applied Economics Association.
  26. Bauwens, Luc & Veredas, David, 2004. "The stochastic conditional duration model: a latent variable model for the analysis of financial durations," Journal of Econometrics, Elsevier, vol. 119(2), pages 381-412, April.
  27. Roman Liesenfeld & Robert C. Jung, 2000. "Stochastic volatility models: conditional normality versus heavy-tailed distributions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(2), pages 137-160.
  28. Per Bjarte Solibakke, 2022. "Projecting and Forecasting the Latent Volatility for the Nasdaq OMX Nordic/Baltic Financial Electricity Market Applying Stochastic Volatility Market Characteristics," Energies, MDPI, vol. 15(10), pages 1-20, May.
  29. N. Balakrishna & Bovas Abraham & Ranjini Sivakumar, 2006. "Gamma stochastic volatility models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 25(3), pages 153-171.
  30. Font, Begoña, 1998. "Modelización de series temporales financieras. Una recopilación," DES - Documentos de Trabajo. Estadística y Econometría. DS 3664, Universidad Carlos III de Madrid. Departamento de Estadística.
  31. Ruiz, Esther & Veiga, Helena, 2008. "Modelling long-memory volatilities with leverage effect: A-LMSV versus FIEGARCH," Computational Statistics & Data Analysis, Elsevier, vol. 52(6), pages 2846-2862, February.
  32. John M Maheu & Thomas H McCurdy, 2007. "Modeling foreign exchange rates with jumps," Working Papers tecipa-279, University of Toronto, Department of Economics.
  33. Charilaos Mertzanis, 2013. "Risk Management Challenges after the Financial Crisis," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 42(3), pages 285-320, November.
  34. Christian Hotz‐Behofsits & Florian Huber & Thomas Otto Zörner, 2018. "Predicting crypto‐currencies using sparse non‐Gaussian state space models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 37(6), pages 627-640, September.
  35. Chew Lian Chua & Sandy Suardi, 2006. "Testing for a Unit Root in the Presence of a Jump Diffusion Process with GARCH Errors," Melbourne Institute Working Paper Series wp2006n28, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
  36. Lux, Thomas & Morales-Arias, Leonardo & Sattarhoff, Cristina, 2011. "A Markov-switching multifractal approach to forecasting realized volatility," Kiel Working Papers 1737, Kiel Institute for the World Economy (IfW Kiel).
  37. Antonis Demos, 2023. "Estimation of Asymmetric Stochastic Volatility in Mean Models," DEOS Working Papers 2309, Athens University of Economics and Business.
  38. van der Sluis Pieter J., 1997. "EmmPack 1.01: C/C++ Code for Use with Ox for Estimation of Univariate Stochastic Volatility Models with the Efficient Method of Moments," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 2(3), pages 1-20, October.
  39. Wang, Joanna J.J. & Chan, Jennifer S.K. & Choy, S.T. Boris, 2011. "Stochastic volatility models with leverage and heavy-tailed distributions: A Bayesian approach using scale mixtures," Computational Statistics & Data Analysis, Elsevier, vol. 55(1), pages 852-862, January.
  40. Sassan Alizadeh & Michael W. Brandt & Francis X. Diebold, 2002. "Range‐Based Estimation of Stochastic Volatility Models," Journal of Finance, American Finance Association, vol. 57(3), pages 1047-1091, June.
  41. Mu, Congming & Yan, Jingzhou & Liang, Zhian, 2021. "Optimal risk taking under high-water mark contract with jump risk," Finance Research Letters, Elsevier, vol. 38(C).
  42. Siem Jan Koopman & Charles S. Bos, 2002. "Time Series Models with a Common Stochastic Variance for Analysing Economic Time Series," Tinbergen Institute Discussion Papers 02-113/4, Tinbergen Institute.
  43. PREMINGER, Arie & HAFNER, Christian, 2006. "Deciding between GARCH and stochastic volatility via strong decision rules," LIDAM Discussion Papers CORE 2006042, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  44. P. Girardello & Orietta Nicolis & Giovanni Tondini, 2002. "Comparing conditional variance models: Theory and empirical evidence," Departmental Working Papers 2002-08, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
  45. Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2005. "Volatility Forecasting," PIER Working Paper Archive 05-011, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  46. Vo, Minh T., 2009. "Regime-switching stochastic volatility: Evidence from the crude oil market," Energy Economics, Elsevier, vol. 31(5), pages 779-788, September.
  47. Antonis Demos, 2002. "Moments and dynamic structure of a time-varying parameter stochastic volatility in mean model," Econometrics Journal, Royal Economic Society, vol. 5(2), pages 345-357, June.
  48. Berument, M. Hakan & Yalcin, Yeliz & Yildirim, Julide, 2012. "Inflation and inflation uncertainty: A dynamic framework," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(20), pages 4816-4826.
  49. Tsiotas, Georgios, 2012. "On generalised asymmetric stochastic volatility models," Computational Statistics & Data Analysis, Elsevier, vol. 56(1), pages 151-172, January.
  50. Neil Shephard & Torben Andersen, 2008. "Stochastic Volatility: Origins and Overview," Economics Papers 2008-W04, Economics Group, Nuffield College, University of Oxford.
  51. Vo, Minh, 2011. "Oil and stock market volatility: A multivariate stochastic volatility perspective," Energy Economics, Elsevier, vol. 33(5), pages 956-965, September.
  52. Jonathan Wright, 2002. "Log-Periodogram Estimation Of Long Memory Volatility Dependencies With Conditionally Heavy Tailed Returns," Econometric Reviews, Taylor & Francis Journals, vol. 21(4), pages 397-417.
  53. In Kim & In-Seok Baek & Jaesun Noh & Sol Kim, 2007. "The role of stochastic volatility and return jumps: reproducing volatility and higher moments in the KOSPI 200 returns dynamics," Review of Quantitative Finance and Accounting, Springer, vol. 29(1), pages 69-110, July.
  54. Stelios Arvanitis, 2013. "On the Existence of Strongly Consistent Indirect Estimators When the Binding Function Is Compact Valued," Journal of Mathematics, Hindawi, vol. 2013, pages 1-14, November.
  55. Grammig, Joachim & Schaub, Eva-Maria, 2014. "Give me strong moments and time: Combining GMM and SMM to estimate long-run risk asset pricing," CFR Working Papers 14-05, University of Cologne, Centre for Financial Research (CFR).
  56. Liu, Ming & Zhang, Harold H., 1998. "Overparameterization in the seminonparametric density estimation," Economics Letters, Elsevier, vol. 60(1), pages 11-18, July.
  57. Hardiyanto, A.V., 2007. "Daily Rp/USD stochastic volatility and the policy implication lesson," Journal of Asian Economics, Elsevier, vol. 18(1), pages 237-256, February.
  58. Veiga, Helena, 2006. "A two factor long memory stochastic volatility model," DES - Working Papers. Statistics and Econometrics. WS ws061303, Universidad Carlos III de Madrid. Departamento de Estadística.
  59. Hautsch, Nikolaus & Ou, Yangguoyi, 2008. "Discrete-time stochastic volatility models and MCMC-based statistical inference," SFB 649 Discussion Papers 2008-063, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  60. Mikhail Chernov & Eric Ghysels, 1998. "What Data Should Be Used to Price Options?," CIRANO Working Papers 98s-22, CIRANO.
  61. Ding, Liang & Vo, Minh, 2012. "Exchange rates and oil prices: A multivariate stochastic volatility analysis," The Quarterly Review of Economics and Finance, Elsevier, vol. 52(1), pages 15-37.
  62. Ronald Gallant, A. & Tauchen, George, 1999. "The relative efficiency of method of moments estimators1," Journal of Econometrics, Elsevier, vol. 92(1), pages 149-172, September.
  63. Torben G. Andersen & Luca Benzoni & Jesper Lund, 2002. "An Empirical Investigation of Continuous‐Time Equity Return Models," Journal of Finance, American Finance Association, vol. 57(3), pages 1239-1284, June.
  64. Elise COUDIN, Jean-Marie DUFOUR, 2008. "Hodges-Lehmann Sign-based Estimators and Generalized Confidence Distributions in Linear Median Regressions with Moment-free Heterogenous Errors and Dependence of Unknown Form," Working Papers 2008-33, Center for Research in Economics and Statistics.
  65. Mardi Dungey & Diana Zhumabekova, 2001. "Factor analysis of a model of stock market returns using simulation-based estimation techniques," Pacific Basin Working Paper Series 2001-08, Federal Reserve Bank of San Francisco.
  66. Pyun, Chong Soo & Lee, Sa Young & Nam, Kiseok, 2000. "Volatility and information flows in emerging equity market: A case of the Korean Stock Exchange," International Review of Financial Analysis, Elsevier, vol. 9(4), pages 405-420.
  67. Dridi, Ramdan & Guay, Alain & Renault, Eric, 2007. "Indirect inference and calibration of dynamic stochastic general equilibrium models," Journal of Econometrics, Elsevier, vol. 136(2), pages 397-430, February.
  68. Ming Liu & Harold H. Zhang, "undated". "Specification Tests in the Efficient Method of Moments Framework with Application to the Stochastic Volatility Models," Computing in Economics and Finance 1997 93, Society for Computational Economics.
  69. Eymen Errais & Dhikra Bahri, 2016. "Is Standard Deviation a Good Measure of Volatility? the Case of African Markets with Price Limits," Annals of Economics and Finance, Society for AEF, vol. 17(1), pages 145-165, May.
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  71. Solibakke, Per Bjarte, 2001. "A stochastic volatility model specification with diagnostics for thinly traded equity markets," Journal of Multinational Financial Management, Elsevier, vol. 11(4-5), pages 385-406, December.
  72. Donald W.K. Andrews & Biao Lu, 1999. "Consistent Model and Moment Selection Criteria for GMM Estimation with Applications to Dynamic Panel Data Models," Cowles Foundation Discussion Papers 1233, Cowles Foundation for Research in Economics, Yale University.
  73. Per Bjarte Solibakke, 2003. "Validity of discrete-time stochastic volatility models in non-synchronous equity markets," The European Journal of Finance, Taylor & Francis Journals, vol. 9(5), pages 420-448.
  74. Sandmann, G. & Koopman, Siem, 1996. "Maximum likelihood estimation of stochastic volatility models," LSE Research Online Documents on Economics 119161, London School of Economics and Political Science, LSE Library.
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  76. María-Dolores Ramón & Vázquez Jesús, 2006. "How Does the New Keynesian Monetary Model Fit in the U.S. and the Eurozone? An Indirect Inference Approach," The B.E. Journal of Macroeconomics, De Gruyter, vol. 6(2), pages 1-51, September.
  77. Cheng, Benjamin & Nikitopoulos, Christina Sklibosios & Schlögl, Erik, 2018. "Pricing of long-dated commodity derivatives: Do stochastic interest rates matter?," Journal of Banking & Finance, Elsevier, vol. 95(C), pages 148-166.
  78. Liesenfeld, Roman & Breitung, Jörg, 1998. "Simulation based methods of moments in empirical finance," SFB 373 Discussion Papers 1998,59, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  79. Eddie Chi-man Hui & Xian Zheng, 2012. "The dynamic correlation and volatility of real estate price and rental: an application of MSV model," Applied Economics, Taylor & Francis Journals, vol. 44(23), pages 2985-2995, August.
  80. Senteney, David L. & Bazaz, Mohammad S. & Senteney, Michael H., 2016. "Cross-market information transfers of ADR firms: An investigation of emerging market economies," Research in International Business and Finance, Elsevier, vol. 37(C), pages 655-677.
  81. Sassan Alizadeh & Michael W. Brandt & Francis X. Diebold, 2001. "High- and Low-Frequency Exchange Rate Volatility Dynamics: Range-Based Estimation of Stochastic Volatility Models," NBER Working Papers 8162, National Bureau of Economic Research, Inc.
  82. Berument, Hakan & Yalcin, Yeliz & Yildirim, Julide, 2009. "The effect of inflation uncertainty on inflation: Stochastic volatility in mean model within a dynamic framework," Economic Modelling, Elsevier, vol. 26(6), pages 1201-1207, November.
  83. Gallant, A. Ronald & Tauchen, George, 2002. "Simulated Score Methods and Indirect Inference for Continuous-time Models," Working Papers 02-09, Duke University, Department of Economics.
  84. Aloy Marcel & Dufrénot Gilles & Tong Charles Lai & Peguin-Feissolle Anne, 2013. "A smooth transition long-memory model," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 17(3), pages 281-296, May.
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  86. Chen, Bin & Hong, Yongmiao, 2012. "Testing For The Markov Property In Time Series," Econometric Theory, Cambridge University Press, vol. 28(1), pages 130-178, February.
  87. Grammig, Joachim & Schaub, Eva-Maria, 2014. "Give me strong moments and time: Combining GMM and SMM to estimate long-run risk asset pricing models," CFS Working Paper Series 479, Center for Financial Studies (CFS).
  88. Benjamin Cheng & Christina Nikitopoulos-Sklibosios & Erik Schlogl, 2016. "Empirical Pricing Performance in Long-Dated Crude Oil Derivatives: Do Models with Stochastic Interest Rates Matter?," Research Paper Series 367, Quantitative Finance Research Centre, University of Technology, Sydney.
  89. George Tauchen, 1998. "The Objective Function Of Simulation Estimators Near The Boundary Of The Unstable Region Of The Parameter Space," The Review of Economics and Statistics, MIT Press, vol. 80(3), pages 389-398, August.
  90. Liesenfeld, Roman & Richard, Jean-Francois, 2003. "Univariate and multivariate stochastic volatility models: estimation and diagnostics," Journal of Empirical Finance, Elsevier, vol. 10(4), pages 505-531, September.
  91. Liu, Ming, 2000. "Modeling long memory in stock market volatility," Journal of Econometrics, Elsevier, vol. 99(1), pages 139-171, November.
  92. Ramón María-Dolores & Jesús Vázquez, 2008. "Term structure and the estimated monetary policy rule in the Eurozone," Spanish Economic Review, Springer;Spanish Economic Association, vol. 10(4), pages 251-277, December.
  93. Chernov, Mikhail & Ronald Gallant, A. & Ghysels, Eric & Tauchen, George, 2003. "Alternative models for stock price dynamics," Journal of Econometrics, Elsevier, vol. 116(1-2), pages 225-257.
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  97. Viviana Amati & Felix Schönenberger & Tom A. B. Snijders, 2019. "Contemporaneous Statistics for Estimation in Stochastic Actor-Oriented Co-evolution Models," Psychometrika, Springer;The Psychometric Society, vol. 84(4), pages 1068-1096, December.
  98. Andrews, Donald W. K. & Lu, Biao, 2001. "Consistent model and moment selection procedures for GMM estimation with application to dynamic panel data models," Journal of Econometrics, Elsevier, vol. 101(1), pages 123-164, March.
  99. Sandmann, Gleb & Koopman, Siem Jan, 1998. "Estimation of stochastic volatility models via Monte Carlo maximum likelihood," Journal of Econometrics, Elsevier, vol. 87(2), pages 271-301, September.
  100. Per Bjarte Solibakke, 2007. "Describing the Phelix Forward Electric-Power Market. A Stochastic Volatility Model Approach," Energy and Environmental Modeling 2007 24000057, EcoMod.
  101. Masaru Chiba & Masahito Kobayashi, 2013. "Testing for a Single-Factor Stochastic Volatility in Bivariate Series," JRFM, MDPI, vol. 6(1), pages 1-31, December.
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  103. Dufour, Jean-Marie & Valéry, Pascale, 2009. "Exact and asymptotic tests for possibly non-regular hypotheses on stochastic volatility models," Journal of Econometrics, Elsevier, vol. 150(2), pages 193-206, June.
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  105. Karamé, Frédéric, 2018. "A new particle filtering approach to estimate stochastic volatility models with Markov-switching," Econometrics and Statistics, Elsevier, vol. 8(C), pages 204-230.
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  110. Ahsan, Md. Nazmul & Dufour, Jean-Marie, 2021. "Simple estimators and inference for higher-order stochastic volatility models," Journal of Econometrics, Elsevier, vol. 224(1), pages 181-197.
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  128. M. Berument & Yeliz Yalcin & Julide Yildirim, 2011. "The inflation and inflation uncertainty relationship for Turkey: a dynamic framework," Empirical Economics, Springer, vol. 41(2), pages 293-309, October.
  129. González, Manuel, 2004. "La Curva de Retorno y el Modelo C-CAPM: Evidencia para Chile," MPRA Paper 309, University Library of Munich, Germany.
  130. Roland Langrock & Théo Michelot & Alexander Sohn & Thomas Kneib, 2015. "Semiparametric stochastic volatility modelling using penalized splines," Computational Statistics, Springer, vol. 30(2), pages 517-537, June.
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  134. Durham, Garland B., 2007. "SV mixture models with application to S&P 500 index returns," Journal of Financial Economics, Elsevier, vol. 85(3), pages 822-856, September.
  135. Zu, Yang, 2015. "Nonparametric specification tests for stochastic volatility models based on volatility density," Journal of Econometrics, Elsevier, vol. 187(1), pages 323-344.
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  137. Mikhail Chernov & A. Ronald Gallant & Eric Ghysels & George Tauchen, 1999. "A New Class of Stochastic Volatility Models with Jumps: Theory and Estimation," CIRANO Working Papers 99s-48, CIRANO.
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