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subject:"Volatility"
type_genre:"Article in journal"
~isPartOf:"Journal of risk"
~isPartOf:"Quantitative finance"
~person:"Chatterjee, Rupak"
~person:"Kabaila, Paul"
~subject:"Estimation"
~subject:"Market microstructure"
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On a new parametrization class of solvable diffusion models and transition probability kernels
Tudor, Sebastian F.
;
Chatterjee, Rupak
;
Tydniouk, Igor
- In:
Quantitative finance
21
(
2021
)
10
,
pp. 1773-1790
Persistent link: https://www.econbiz.de/10012653711
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2
Estimation risk for value-at-risk and expected shortfall
Kabaila, Paul
;
Mainzer, Rheanna
- In:
Journal of risk
20
(
2017/2018
)
3
,
pp. 29-47
Persistent link: https://www.econbiz.de/10011847463
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