This paper proposes the Lagrange multiplier (LM) test, or the score test, for jumps in the stochastic volatility (SV) model in the cases where the ...

This paper proposes the Lagrange multiplier (LM) test, or the score test, for jumps in the stochastic volatility (SV) model in the cases where the ...

This paper proposes the Lagrange multiplier (LM) test for the null of the simple stochastic volatility. (SV) model without jumps against the alternative of.

This paper proposes the Lagrange multiplier (LM) test, or the score test, for jumps in the stochastic volatility (SV) model in the cases where the innovation ...

This paper proposes the Lagrange multiplier (LM) test, or the score test, for jumps in the stochastic volatility (SV) model in the cases where the ...

This paper considers the stochastic volatility process with contemporaneous and correlated jumps in returns and volatility, which was proposed by Eraker, ...

This paper proposes the Lagrange multiplier (LM) test, or the score test, for jumps in the stochastic volatility (SV) model in the cases where the ...

Nov 22, 2019 · This paper tests the pricing accuracy and the hedging performance of the stochastic volatility with random jumps model in markets extended ...

We propose a new test to determine whether jumps are present in asset returns or other discretely sampled processes. As the sampling interval tends.

This dissertation consists of three essays on stochastic frontier models in characterizing inefficiency for a cross section of firms in essays one and three ...