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~person:"Du, Xiaodong"
~person:"Hafner, Christian M."
~subject:"autoregression"
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autoregression
leverage effect
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Du, Xiaodong
Hafner, Christian M.
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Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät
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Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis
Hafner, Christian M.
;
Herwartz, Helmut
-
Sonderforschungsbereich 373, Quantifikation und …
-
1999
:
leverage
effect
, and conditional leptokurtosis. Our analysis covers both a continuous and discrete time framework. The results …
Persistent link: https://www.econbiz.de/10010956419
Saved in:
2
Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis
Hafner, Christian M.
;
Herwartz, Helmut
-
1999
:
leverage
effect
, and conditional leptokurtosis. Our analysis covers both a continuous and discrete time framework. The results …
Persistent link: https://www.econbiz.de/10010310007
Saved in:
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