“…1 The fundamental advantage of this approach is that it is able to estimate jointly the objective and risk-neutral parameters of the model, as well as the market prices of return and volatility risks that govern the change of measure in a way that maintains the internal consistency of the objective and risk-neutral measures. 2 There is a large and growing literature on the use of joint data on the underlying asset and option prices for the joint estimation of the model in recent years (e.g., Bollerslev, Gibson, & Zhou, 2011;Cheng, Gallant, Ji, & Lee, 2008;Chernov & Ghysels, 2000;Eraker, 2004;Ferriani & Pastorello, 2012;Garcia, Lewis, Pastorello, & Renault, 2011;Johannes, Polson, & Stroud, 2009;Jones, 2003;Pan, 2002;Polson & Stroud, 2003).…”