In recent studies the truncated Levy process (TLP) has been shown to be very promising for the modeling of financial dynamics. In contrast to the Levy process, the TLP has finite moments and can account for both the previously observed excess kurtosis at short timescales, along with the slow convergence to Gaussian at longer timescales. I further test the truncated Levy paradigm using high freq...

In this paper we analyze asset returns models with diffusion part and jumps in returns with stochastic volatility either from diffusion or pure jump part. We consider different specifications for the pure jump part including compound Poisson, Variance Gamma and Levy α-stable jumps. Monte Carlo Markov chain algorithm is constructed to estimate models with latent Variance Gamma and Levy α−stable ...