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MCMC estimation of Lévy jump models using stock and option prices
Yu, Cindy L.
;
Li, Haitao
;
Wells, Martin T.
- In:
Mathematical finance : an international journal of …
21
(
2011
)
3
,
pp. 383-422
Persistent link: https://www.econbiz.de/10009155205
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A Bayesian analysis of return dynamics with Lévy jumps
Li, Haitao
;
Wells, Martin T.
;
Yu, Cindy L.
- In:
The review of financial studies
21
(
2008
)
5
,
pp. 2345-2378
Persistent link: https://www.econbiz.de/10003765224
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The low-volatility anomaly and the adaptive multi-factor model
Jarrow, Robert A.
;
Murataj, Rinald
;
Wells, Martin T.
; …
- In:
International journal of theoretical and applied …
26
(
2023
)
4/5
,
pp. 1-33
Persistent link: https://www.econbiz.de/10014497298
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