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accessRights:"restricted"
subject:"Bootstrap approach"
~person:"Andrikopoulos, Alexandru"
~person:"Chevallier, Julien"
~subject:"ARCH model"
~subject:"Estimation"
~type_genre:"Book section"
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Andrikopoulos, Alexandru
Chevallier, Julien
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Application of operations research to financial markets
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Closed-form variance swap prices under general affine GARCH models and their continuous-time limits
Andrikopoulos, Alexandru
;
Cui, Zhenyu
;
Ortega, Juan-Pablo
- In:
Application of operations research to financial markets
,
(pp. 27-57)
.
2019
Persistent link: https://www.econbiz.de/10012157341
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2
Estimation of Lévy-driven Ornstein-Uhlenbeck processes : application to modeling of CO2 and fuel-switching
Chevallier, Julien
;
Goutte, Stéphane
- In:
Energy economics and climate policy modeling
,
(pp. 169-197)
.
2017
Persistent link: https://www.econbiz.de/10011715519
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