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Search: subject:"conditional leptokurtosis"
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GARCH
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autoregression
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conditional leptokurtosis
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heteroskedasticity
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leverage effect
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option pricing
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Hafner, Christian M.
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Herwartz, Helmut
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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
-
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:
2
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:
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