Shock elasticities and impulse responses
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Publication:475311
DOI10.1007/s11579-014-0122-4zbMath1307.91124OpenAlexW3123901598MaRDI QIDQ475311
Jaroslav Borovička, Lars Peter Hansen, José Alexandre Scheinkman
Publication date: 26 November 2014
Published in: Mathematics and Financial Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11579-014-0122-4
Malliavin derivativerisk pricingshock elasticitiesMarkov dynamicsnonlinear impulse response functions
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