The role of stochastic volatility and return jumps: reproducing volatility and higher moments in the KOSPI 200 returns dynamics

In Kim (), In-Seok Baek (), Jaesun Noh () and Sol Kim ()

Review of Quantitative Finance and Accounting, 2007, vol. 29, issue 1, 69-110

Keywords: Stochastic volatility model; Jump diffusion model; Efficient method of moments; Reprojection; Markov Chain Monte Carlo; Option pricing implications; C14; C15; C52; C53; G13 (search for similar items in EconPapers)
Date: 2007
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DOI: 10.1007/s11156-007-0022-2

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