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compound Poisson process
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intensité des sauts variant dans le temps
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Exploring
Time-Varying
Jump Intensities: Evidence from S&P500 Returns and Options
Christoffersen, Peter
;
Jacobs, Kris
;
Ornthanalai, Chayawat
-
Centre Interuniversitaire de Recherche en Analyse des …
-
2009
large sample of options. We find strong empirical support for
time-varying
jump intensities. A model with jump intensity …
Persistent link: https://www.econbiz.de/10004976985
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