Probabilistic Properties of Stochastic Volatility Models
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Publication:3646957
DOI10.1007/978-3-540-71297-8_11zbMath1200.62129OpenAlexW2168111208MaRDI QIDQ3646957
Thomas Mikosch, Richard A. Davis
Publication date: 27 November 2009
Published in: Handbook of Financial Time Series (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-540-71297-8_11
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Economic time series analysis (91B84)
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