Testing for jumps and jump intensity path dependence
Year of publication: |
June 2018
|
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Authors: | Corradi, Valentina ; Silvapulle, Mervyn J. ; Swanson, Norman R. |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 204.2018, 2, p. 248-267
|
Subject: | Diffusion model | Jump intensity | Jump size density | Tricity | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Statistische Verteilung | Statistical distribution | Stochastischer Prozess | Stochastic process |
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