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Estimation of multifactor stochastic volatility jump-diffusion models: A marginalized filter approach

Jean‐François Bégin & Golara Zafari

Econometrics and Statistics2025https://doi.org/10.1016/j.ecosta.2025.03.002article
ABDC B
Weight
0.37

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https://doi.org/https://doi.org/10.1016/j.ecosta.2025.03.002

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@article{jean‐françois2025,
  title        = {{Estimation of multifactor stochastic volatility jump-diffusion models: A marginalized filter approach}},
  author       = {Jean‐François Bégin & Golara Zafari},
  journal      = {Econometrics and Statistics},
  year         = {2025},
  doi          = {https://doi.org/https://doi.org/10.1016/j.ecosta.2025.03.002},
}

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Estimation of multifactor stochastic volatility jump-diffusion models: A marginalized filter approach

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Evidence weight

0.37

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.16 × 0.4 = 0.06
M · momentum0.53 × 0.15 = 0.08
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

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