Distributional properties of continuous time processes: from CIR to bates
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DOI: 10.1007/s10182-022-00459-3
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More about this item
Keywords
Higher moments; Distributional properties; Stochastic volatility; Jump diffusion; CIR process; Square-root process;All these keywords.
JEL classification:
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
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