Analytical characterization of the probability distribution of financial returns in the exponential Ornstein Uhlenbeck model with stochastic volatility. Comparison with high-frequency financial data.
The probability distribution of returns in the exponential Ornstein-Uhlenbeck model
MONTAGNA, GUIDO;
2008-01-01
Abstract
Analytical characterization of the probability distribution of financial returns in the exponential Ornstein Uhlenbeck model with stochastic volatility. Comparison with high-frequency financial data.File in questo prodotto:
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