A tale of two regimes: Theory and empirical evidence for a Markov-modulated jump diffusion model of equity returns and derivative pricing implications
Year of publication: |
2013
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Authors: | Chang, Charles ; Fuh, Cheng-Der ; Lin, Shih-Kuei |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 7529053. - Vol. 37.2013, 8, p. 3204-3217
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