Towards Better Estimation of Jump Diffusion ModelsContinuous Time Finance Models (2012)
I discuss in-depth modern techniques for the estimation of Jump Diffusion models with suggestions for improvements. There is a heavy focus on intuition. I also point out examples of the use of improper techniques (biased and inconsistent) in the top tier finance literature.
Publication DateJuly, 2012
Citation InformationRichard H. Serlin. "Towards Better Estimation of Jump Diffusion Models" Continuous Time Finance Models (2012)
Available at: http://works.bepress.com/richard_serlin/4/