ABC of SV: Limited information likelihood inference in stochastic volatility jump-diffusion models

C-Tier

Journal: Journal of Empirical Finance

Year: 2015

Volume: 31

Issue: C

Pages: 85-108

Authors (2)

Creel, Michael (Barcelona School of Economics ...) Kristensen, Dennis (not in RePEc)

Score contribution per author:

0.505 = (α=2.02 / 2 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count