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A common jump factor stochastic volatility model
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DOI：10.1016/j.frl.2014.12.009.png)
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We introduce a new multivariate stochastic volatility model, based on the presence of a latent common factor with random jumps. The common factor is parameterized as a permanent component using a compound binomial process. This model can capture common jumps in the latent volatilities between markets, with particular relevance in the presence of crises and contagion in emerging markets. (C) 2015 Elsevier Inc. All rights reserved.
Keyword:
Stochastic volatility
MCMC
Jump process
Regime changes
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