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The role of stochastic volatility and return jumps: reproducing volatility and higher moments in the KOSPI 200 returns dynamics

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  • In Kim

    ()

  • In-Seok Baek

    ()

  • Jaesun Noh

    ()

  • Sol Kim

    ()

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    Abstract

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    File URL: http://hdl.handle.net/10.1007/s11156-007-0022-2
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    Bibliographic Info

    Article provided by Springer in its journal Review of Quantitative Finance and Accounting.

    Volume (Year): 29 (2007)
    Issue (Month): 1 (July)
    Pages: 69-110

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    Handle: RePEc:kap:rqfnac:v:29:y:2007:i:1:p:69-110

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    Web page: http://springerlink.metapress.com/link.asp?id=102990

    Related research

    Keywords: Stochastic volatility model; Jump diffusion model; Efficient method of moments; Reprojection; Markov Chain Monte Carlo; Option pricing implications; C14; C15; C52; C53; G13;

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