An autoregressive jump process for common stock returns
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Financial Economics.
Volume (Year): 5 (1977)
Issue (Month): 3 (December)
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Web page: http://www.elsevier.com/locate/inca/505576
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- Sanghoon Lee, 2004. "Approximation of A Jump-Diffusion Process," Econometric Society 2004 Far Eastern Meetings 412, Econometric Society.
- Nawrocki, David N., 1995. "Expectations, technological change, information and the theory of financial markets," International Review of Financial Analysis, Elsevier, vol. 4(2-3), pages 85-105.
- Ramazan Gencay & Aslihan Salih, 2003. "Degree of Mispricing with the Black-Scholes Model and Nonparametric Cures," Annals of Economics and Finance, Society for AEF, vol. 4(1), pages 73-101, May.
- David Eliezer & Ian I. Kogan, 1998. "Scaling Laws for the Market Microstructure of the Interdealer Broker Markets," Papers cond-mat/9808240, arXiv.org, revised Sep 1998.
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