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Keywords: Asymmetric jump distribution
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Journal Articles
Journal:
China Finance Review International
China Finance Review International (2018) 8 (4): 387–398.
Published: 28 March 2018
... using the double-exponential distribution, which can create positive and negative jumps separately. Ramezani and Zeng (2007) and Kaeck (2013) show that the double-exponential jump diffusion (DEJD) model which allows asymmetric jump distribution can improve the modeling of the asset returns tail...
