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-diffusions, and models of stochastic volatility. This paper explores the statistical properties of these models with a view to …
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use in the financial econometrics literature, namely, the Capital Asset Pricing Model (CAPM), the Fama-French (1992) three …
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We show that the quotient of Levy processes of jump-diffusion type has a fat-taileddistribution. An application is to price theory in economics, with the result that fat tails ariseendogenously from modeling of price change based on an excess demand analysis resulting in aquotient of arbitrarily...
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continuous-time stochastic volatility (SV) model, along with an empirical application using S&P 500 index returns …
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