NIG-Levy process in asset price modeling: case of Estonian companies
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References listed on IDEAS
- Carr, Peter & Wu, Liuren, 2004.
"Time-changed Levy processes and option pricing,"
Journal of Financial Economics, Elsevier, vol. 71(1), pages 113-141, January.
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- R. Cont, 2001. "Empirical properties of asset returns: stylized facts and statistical issues," Quantitative Finance, Taylor & Francis Journals, vol. 1(2), pages 223-236.
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More about this item
Keywords
NIG; goodness of fits test; fitting price process.;All these keywords.
JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
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