Name: Testing for Volatility Jumps in the Stochastic Volatility Process
Creator: Kobayashi, Masahito
Keywords: Stochastic models in economics, stochastic volatility process, 0502 economics and business, 05 social sciences, jump process, 0101 mathematics, Finance etc., 01 natural sciences, Lagrange multiplier test

Testing for volatility jumps in the stochastic volatility process

descriptionPublicationkeyboard_double_arrow_right Article 01 Jun 2005 English Publisher:Springer Science and Business Media LLCJournal:Asia-Pacific Financial Markets, volume 12, pages 143-157 (issn: 1387-2834, eissn: 1573-6946,

Authors: Kobayashi, Masahito;

doi: 10.1007/s10690-006-9016-7

Testing for Volatility Jumps in the Stochastic Volatility Process

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Abstract

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Related Organizations

Yokohama National University
Japan

Keywords

Stochastic models in economics, stochastic volatility process, jump process, Finance etc., Lagrange multiplier test

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