It is generally accepted that the asset price processes contain jumps. In fact, pure jump
models have been widely used to model asset prices and/or stochastic volatilities. The …

Pure-jump processes have been increasingly popular in modeling high-frequency financial
data, partially due to their versatility and flexibility. In the meantime, several statistical tests …

The purpose of this paper is to propose a new class of jump diffusions which feature both
stochastic volatility and random intensity jumps. Previous studies have focused primarily on …

Dynamic jumps in the price and volatility of an asset are modelled using a joint Hawkes
process in conjunction with a bivariate jump diffusion. A state‐space representation is used …

We consider a stochastic volatility financial model with jumps, where the jump part is a Lévy
process. Using a threshold method we show that one can identify the instants of jump, on the …

There is compelling evidence that the dynamics of prices of financial instruments exhibit
jumps that cannot be adequately captured solely by diffusion processes, see Merton (1976) …

An asymmetric jump-diffusion model of stock price behavior is proposed. In an extension of
Merton's (1976), we posit that returns dynamics are determined by a drift component, a …

WINNER of a Riskbook. com Best of 2004 Book Award! During the last decade, financial
models based on jump processes have acquired increasing popularity in risk management …

This article develops a new conditional jump model to study jump dynamics in stock market
returns. We propose a simple filter to infer ex post the distribution of jumps. This permits …

This paper makes two contributions:(1) it presents estimates of a continuous-time
stochasticvolatility jump-diffusion process (SVJD) using a simulation-based estimator, and …