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  • Search: subject:"mesures de Lévy"
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Year of publication
Subject
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Efficient method of moments 1 Poisson processes 1 Processus à sauts 1 filtering 1 jump processes 1 mesures de Lévy 1 modèles à volatilité stochastique 1 stochastic volatility models 1
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Online availability
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Free 1
Type of publication
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Book / Working Paper 1
Language
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English 1
Author
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Chernov, Mikhail 1 Gallant, A. Ronald 1 Ghysels, Eric 1 Tauchen, George 1
Institution
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Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO) 1
Published in...
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CIRANO Working Papers 1
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RePEc 1
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A New Class of Stochastic Volatility Models with Jumps: Theory and Estimation
Chernov, Mikhail; Gallant, A. Ronald; Ghysels, Eric; … - Centre Interuniversitaire de Recherche en Analyse des … - 1999
The purpose of this paper is to propose a new class of jump diffusions which feature both stochastic volatility and random intensity jumps. Previous studies have focussed primarily on pure jump processes with constant intensity and log-normal jumps or constant jump intensity combined with a one...
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