Forecasting Return Volatility of the CSI 300 Index Using the Stochastic Volatility Model with Continuous Volatility and Jumps
The logarithmic realized volatility is divided into the logarithmic continuous sample path variation and the logarithmic discontinuous jump variation on the basis of the SV-RV model in this paper, which constructs the stochastic volatility model with continuous volatility (SV-CJ model). Then, we use...
Saved in:
| Main Authors: | , , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Wiley
2014-01-01
|
| Series: | Discrete Dynamics in Nature and Society |
| Online Access: | http://dx.doi.org/10.1155/2014/964654 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|