A New Class of Stochastic Volatility Models with Jumps: Theory and Estimation

Then we observe that the introduction of the truncation function τ permits to ensure that the process (n 1/ α L t/n ) has no jump of size larger than 2n 1/ α and consequently it

In this article, we approximate the invariant distribution ν of an ergodic Jump Diffusion driven by the sum of a Brownian motion and a Compound Poisson process with sub-Gaussian

This justifies our claim that the ∞-Mat´ern model is the extension of Mat´ern type III model to the case where φ may be countably infinite and its associated conflict graph has

The finite sample theory and extensive simulations reveal that with a fixed sampling interval, the realized volatility but also the jump robust volatility esti- mators (including

During the take-off the athlete attempts to generate a large vertical velocity while minimizing any loss of horizontal velocity, and in the flight phase

A semiclassical version of the Agmon estimate (for the Schr¨odinger operator) was developed in [7] by Helffer and Sj¨ ostrand who also applied such arguments in their analysis

The work of Ford, Kac and Mazur [1] suggests the existence of a quantum- mechanical analogue of the Ornstein-Uhlenbeck stochastic process [2]... If in addition

The motion of the PDMP (X(t)) t≥0 depends on three local characteristics, namely the jump rate λ, the flow φ and a deterministic increasing function f which governs the location of