A Note on Estimating the Parameters of the Diffusion-Jump Model of Stock Returns
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Bibliographic InfoArticle provided by Cambridge University Press in its journal Journal of Financial and Quantitative Analysis.
Volume (Year): 16 (1981)
Issue (Month): 01 (March)
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- José Azevedo-Pereira & Gualter Couto & Cláudia Nunes, 2010. "Optimal timing of relocation," International Journal of Managerial Finance, Emerald Group Publishing, vol. 6(2), pages 143-163, April.
- Chang, Charles & Fuh, Cheng-Der & Lin, Shih-Kuei, 2013. "A tale of two regimes: Theory and empirical evidence for a Markov-modulated jump diffusion model of equity returns and derivative pricing implications," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 3204-3217.
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