Caporin, Massimiliano; Rossi, Eduardo; Magistris, Paolo … - Dipartimento di Scienze Economiche "Marco Fanno", … - 2011
The volatility of financial returns is affected by rapid and large increments. Such movements can be hardly generated by a pure diffusive process for stochastic volatility. On the contrary jumps in volatility are important because they allow for rapid increases, like those observed during stock...