Homogeneity tests for Levy processes and applications
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- repec:bla:jfinan:v:58:y:2003:i:3:p:975-1008 is not listed on IDEAS
- Helyette Geman & Dilip B. Madan & Marc Yor, 2001. "Asset Prices Are Brownian Motion: Only In Business Time," World Scientific Book Chapters, in: Marco Avellaneda (ed.), Quantitative Analysis In Financial Markets Collected Papers of the New York University Mathematical Finance Seminar(Volume II), chapter 4, pages 103-146, World Scientific Publishing Co. Pte. Ltd..
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Keywords
Levy processes; jump processes; homogeneity tests; idiosyncratic risk;All these keywords.
JEL classification:
- D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets
- C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
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