EMM estimation of a 2-factor Stochastic Volatility model with Jumps

Replicate the model described in the paper of Chernov, Gallant, Ghysels and Tauchen: "A New Class of Stochastic Volatility Models with Jumps", which may be found here:

<[url removed, login to view]>

I need to be replicated the results from Tables 1,2 and 3, using simulated data.

The estimation methodology does not have to be necessarily EMM as in the paper, feel free to choose another estimation method that produces reliable results.

Anyway, code and examples on the use of EMM methodology can be found on prof. Tauchen's website.

## Deliverables

1) Complete and fully-functional working program(s) in executable form as well as complete source code of all work done.

2) The code must be commented decently, so the reader could easily follow the steps.

3) Deliverables must be in ready-to-run condition, as follows (depending on the nature of the deliverables):

a) For web sites or other server-side deliverables intended to only ever exist in one place in the Buyer's environment--Deliverables must be installed by the Seller in ready-to-run condition in the Buyer's environment.

b) For all others including desktop software or software the buyer intends to distribute: A software installation package that will install the software in ready-to-run condition on the platform(s) specified in this bid request.

3) All deliverables will be considered "work made for hire" under U.S. Copyright law. Buyer will receive exclusive and complete copyrights to all work purchased. (No GPL, GNU, 3rd party components, etc. unless all copyright ramifications are explained AND AGREED TO by the buyer on the site per the coder's Seller Legal Agreement).

## Platform

Matlab, C++, Ox

Habilidades: Engenharia, MySQL, PHP, Gestão de projetos, Arquitetura de software, Teste de Software

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( 0 comentários ) Canada

ID do Projeto: #2962319

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