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stochastic volatility
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affine process
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1
CBI-time-changed Lévy processes
Fontana, Claudio
;
Gnoatto, Alessandro
;
Szulda, Guillaume
-
2022
Persistent link: https://www.econbiz.de/10013347447
Saved in:
2
Calibration to FX triangles of the 4/2 model under the benchmark approach
Gnoatto, Alessandro
;
Grasselli, Martino
;
Platen, Eckhard
-
2021
Persistent link: https://www.econbiz.de/10013347384
Saved in:
3
CBI-time-changed Lévy processes for multi-currency modeling
Fontana, Claudio
;
Gnoatto, Alessandro
;
Szulda, Guillaume
-
2021
Persistent link: https://www.econbiz.de/10013347432
Saved in:
4
Implications of macroeconomic volatility in the Euro area
Hauzenberger, Niko
;
Böck, Maximilian
;
Pfarrhofer, Michael
-
2018
In this paper we estimate a Bayesian vector autoregressive model with factor
stochastic
volatility
in the error term to …
Persistent link: https://www.econbiz.de/10011978764
Saved in:
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