A Multifactor Self-Exciting Jump Diffusion Approach for Modelling the Clustering of Jumps in Equity Returns
Year of publication: |
2017
|
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Authors: | Hainaut, Donatien |
Other Persons: | Moraux, Franck (contributor) |
Publisher: |
[2017]: [S.l.] : SSRN |
Subject: | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Kapitaleinkommen | Capital income | Regionales Cluster | Regional cluster | Optionspreistheorie | Option pricing theory | CAPM | Aktienmarkt | Stock market |
Extent: | 1 Online-Ressource (52 p) |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments June 1, 2016 erstellt |
Other identifiers: | 10.2139/ssrn.2787605 [DOI] |
Classification: | G10 - General Financial Markets. General ; G11 - Portfolio Choice |
Source: | ECONIS - Online Catalogue of the ZBW |
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