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Alternative formulations of the leverage effect in a stochastic volatility model with asymmetric heavy-tailed errors

Philippe J. Deschamps
Year of publication:
2015
Authors: Deschamps, Philippe J.
Publisher: Louvain-la-Neuve : CORE
Subject: Stochastische Volatilität | Stochastic volatility | Markov-Kette | Markov chain | Bayes-Statistik | Bayesian inference
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