Score-Driven Modeling with Jumps: An Application to S&P500 Returns and Options

Abstract We introduce a novel score-driven model with two sources of shock, allowing for both time-varying volatility and jumps. A theoretical investigation is performed which yields sufficient conditions to ensure stationarity and ergodicity. We extend the model to consider a time-varying jump inte...

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Veröffentlicht in:	Journal of financial econometrics 2024-03, Vol.22 (2), p.375-406
Hauptverfasser:	Ballestra, Luca Vincenzo, D’Innocenzo, Enzo, Guizzardi, Andrea
Format:	Artikel
Sprache:	eng
Online-Zugang:	Volltext
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