Overcoming the Data Dilemma: How to Use Rolling Analysis for Accurate Forecasting
The insufficiency of financial data is a recurring problem with respect to estimation of statistical quantities and risk measures of historical return series. Risk managers, however, can use so-called rolling window analysis to meet this challenge.
An Introduction to Stochastic Volatility Jump Models
Stochastic Volatility Jump Diffusion (SVJD) is a type of model commonly used for equity returns that includes both stochastic volatility and jumps.