Estimation of the Stochastic Volatility Model by the Empirical Characteristic Function Method
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Bibliographic InfoArticle provided by Australian Statistical Publishing Association Inc. in its journal Australian & New Zealand Journal of Statistics.
Volume (Year): 44 (2002)
Issue (Month): 3 (09)
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Web page: http://www.blackwellpublishing.com/journal.asp?ref=1369-1473
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- Dinghai Xu & John Knight, 2013. "Stochastic volatility model under a discrete mixture-of-normal specification," Journal of Economics and Finance, Springer, vol. 37(2), pages 216-239, April.
- Emanuele Taufer, 2008. "Characteristic function estimation of non-Gaussian Ornstein-Uhlenbeck processes," DISA Working Papers 0805, Department of Computer and Management Sciences, University of Trento, Italy, revised 07 Jul 2008.
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