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.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11571/140484
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