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alternative for modelling financial data exhibiting skewness and fat tails. In this paper we explore the Bayesian estimation of …
Persistent link: https://www.econbiz.de/10009612011
The analysis of diffusion processes in financial models is crucially dependent on the form of the drift and diffusion coefficient functions. A methodology is proposed for estimating and testing coefficient functions for ergodic diffusions that are not directly observable. It is based on...
Persistent link: https://www.econbiz.de/10009613611