Equity index variance: Evidence from flexible parametric jump-diffusion models

Andreas Kaeck*, Paulo Rodrigues, Norman J. Seeger

*Corresponding author for this work

Research output: Contribution to journalArticleAcademicpeer-review

4 Citations (Web of Science)
Original languageEnglish
Pages (from-to)85-103
JournalJournal of Banking & Finance
Publication statusPublished - Oct 2017


  • Stochastic volatility
  • Jump-diffusion models
  • Bayesian inference
  • Markov chain Monte Carlo
  • Particle filter
  • Deviance information criteria
  • Realized variance
  • High-frequency returns
  • Variance risk premium

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