Stochastic volatility model under a discrete mixture-of-normal specification
Year of publication: |
2013
|
---|---|
Authors: | Xu, Dinghai ; Knight, John |
Published in: |
Journal of Economics and Finance. - Springer, ISSN 1055-0925. - Vol. 37.2013, 2, p. 216-239
|
Publisher: |
Springer |
Subject: | Stochastic Volatility Model | Mixtures of Normal | Characteristic Function | Integrated Squared Error | Absolute Return |
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