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Autoregressive variance gamma model
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Applications of the characteristic function-based continuum GMM in finance
Kotchoni, Rachidi
- In:
Computational Statistics & Data Analysis
56
(
2012
)
11
,
pp. 3599-3622
based on the
autoregressive
variance
Gamma
model
are performed. Using the Alcoa price data, the findings suggest that …
Persistent link: https://ebvufind01.dmz1.zbw.eu/10010617655
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