Inference with non-Gaussian Ornstein-Uhlenbeck processes for stochastic volatility
Year of publication: |
2006
|
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Authors: | Griffin, J. E. ; Steel, Mark F. J. |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 134.2006, 2, p. 605-644
|
Subject: | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Risikoprämie | Risk premium | Kapitaleinkommen | Capital income | Markov-Kette | Markov chain | Monte-Carlo-Simulation | Monte Carlo simulation | Theorie | Theory | USA | United States | 1980-1987 |
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