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~person:"Bates, David S."
~subject:"Lévy processes"
~subject:"Yield curve"
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Lévy processes
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Bates, David S.
Yamazaki, Kazutoshi
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U.S. stock market crash risk, 1926–2010
Bates, David S.
- In:
Journal of Financial Economics
105
(
2012
)
2
,
pp. 229-259
This paper examines how well alternate time-changed
Lévy
processes
capture stochastic volatility and the substantial …
Persistent link: https://www.econbiz.de/10010617600
Saved in:
2
U.S. stock market crash risk, 1926–2010
Bates, David S.
- In:
Journal of financial economics
105
(
2012
)
2
,
pp. 229-259
Persistent link: https://www.econbiz.de/10009666837
Saved in:
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