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Search: subject:"time varying volatility and fat tails"
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GAS models
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decision making in incomplete markets
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model ambiguity
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time varying volatility and fat tails
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utility indifference pricing
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Decision Making in Incomplete Markets with Ambiguity -- A Case Study of a Gas Field Acquisition
Zhao, Lin
;
van Wijnbergen, Sweder
-
2014
. First, empirical data are often characterized by
time-varying
volatility
and
fat
tails
; therefore we use Gaussian GAS …
Persistent link: https://www.econbiz.de/10010491370
Saved in:
2
Decision Making in Incomplete Markets with Ambiguity -- A Case Study of a Gas Field Acquisition
Zhao, Lin
;
Wijnbergen, Sweder van
-
Tinbergen Instituut
-
2014
. First, empirical data are often characterized by
time-varying
volatility
and
fat
tails
; therefore we use Gaussian GAS …
Persistent link: https://www.econbiz.de/10011256690
Saved in:
3
Decision making in incomplete markets with ambiguity : a case study of a gas field acquisition
Zhao, Lin
;
Wijnbergen, Sweder van
-
2014
. First, empirical data are often characterized by
time-varying
volatility
and
fat
tails
; therefore we use Gaussian GAS …
Persistent link: https://www.econbiz.de/10010465169
Saved in:
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