Preprint
Sep 2026
Parameter Estimation for the Mixed Fractional Merton Jump Diffusion Model with EM Algorithm
An Expectation--Maximization algorithm with Metropolis--Hastings sampling for parameter estimation in a Mixed Fractional Merton Jump Diffusion model provides a reliable and computationally efficient approach for modeling financial time series exhibiting both long-memory dependence and jump behavior.
Chidiogo Joy Agboeke, Hamidreza Maleki Almani, Dario Gasbarra et al.
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