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A Note on Estimating the Parameters of the Diffusion-Jump Model of Stock Returns

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References

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2008Oil price dynamics (2002–2006)148 cited
2004Estimation of the Characteristics of the Jumps of a General Poisson-Diffusion Model95 cited
1988Contingent claims valuation when the security price is a combination of an Ito process and a random point process86 cited
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2004Maximum Likelihood Estimation of Asymmetric Jump-Diffusion Processes: Application to Security Prices57 cited

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1998Estimation and Testing in Models Containing Both Jumps and Conditional Heteroscedasticity54 cited

2002Calibration of Jump-Diffusion Option Pricing Models: A Robust Non-Parametric Approach52 cited

2006Modelling electricity prices by the potential jump-diffusion46 cited

1993Warrant Pricing: Jump-Diffusion vs. Black-Scholes37 cited

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1999Are Stock Returns Different over Weekends? A Jump Diffusion Analysis of the "Weekend Effect"31 cited

2008Parametric and nonparametric models and methods in financial econometrics28 cited