We formulate a bivariate stochastic volatility jump-diffusion model with correlated jumps and volatilities. An MCMC Metropolis-Hastings sampling algorithm is proposed to estimate the model’s parameters and latent state variables (jumps and stochastic volatilities) given observed returns. The methodology is successfully tested on several artificially generated bivariate time series and then on t...

Object-oriented languages have recently become common, making register indirect jumps more important than ever. In objectoriented languages, virtual functions are heavily used because they improve programming productivity greatly. Virtual function calls usually consist of register indirect jumps, and consequently, programs written in objectoriented languages contain many register indirect jumps...

Measurements of confinement jumps in pure electron plasmas confined on magnetic surfaces are presented and discussed. The experiments were performed in the Columbia non-neutral torus stellarator T. S. Pedersen, J. P. Kremer, R. G. Lefrancois, Q. Marksteiner, N. Pomphrey, W. Reiersen, F. Dahlgren, and X. Sarasola, Fusion Sci. Technol. 50, 372 2006 . The jumps exhibit hysteresis and are associate...

This paper introduces a new nonparametric test to identify jump arrival times in high frequency financial time series data. The asymptotic distribution of the test is derived. We demonstrate that the test is robust for different specifications of price processes and the presence of the microstructure noise. A Monte Carlo simulation is conducted which shows that the test has good size and power....