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I am trying to calculate the jump parameters for the Bates volatility jumps, specifically, the mean of the jump percentages, $\mu_j$. For the value of $J$, I am using jumps $|\frac{s_{i}-s_{i-1}}{s_{i-1}}| > jump_{thresh}$ for a given $jump_{thresh}$ and stock prices $s_i \in [s_0, ..., s_n]$.

For the value of $\mu_j$, I am simply taking the mean of $\frac{s_{i}-s_{i-1}}{s_{i-1}}$. I am struggling to find solid documentation and research papers that provide in-depth information on this. Am I computing this correctly?

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  • $\begingroup$ I read Bates Motel; and was scared off from approaching this one. Sorry :-) maybe reframing the question as Bates Motel Survival Probability will melt-up the participation? Gap-to-default risks need a sex life too, lest they never reproduce. $\endgroup$ – demully Aug 22 at 0:06

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