Estimation of SVJD models with Bayesian Methods and Power-Variation Estimators

Abstract

Methodology is proposed of how to utilize high-frequency power-variation estimators in the Bayesian estimation of Stochastic-Volatility Jump-Diffusion (SVJD) models. Realized variance is used as an additional source of... [ view full abstract ]

Authors

  1. Milan Fičura (University of Economics in Prague, Faculty of Finance and Accounting)
  2. Jiri Witzany (University of Economics in Prague, Faculty of Finance and Accounting)

Topic Areas

Computational Finance , Jump-Diffusions , Stochastic Volatility

Session

PS » Poster Presentations (11:00 - Monday, 16th July)

Presentation Files

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