An Equilibrium Model of the Term Structure with Stochastic Volatility
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Bibliographic InfoPaper provided by THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise in its series THEMA Working Papers with number 2000-13.
Date of creation: 2000
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- NEP-ALL-2001-10-22 (All new papers)
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- F. Fornari & A. Mele, 2000.
"Recovering the Probability Density Function of Asset Prices using Garch as Diffusion Approximations,"
THEMA Working Papers
2000-12, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- Fornari, Fabio & Mele, Antonio, 2001. "Recovering the probability density function of asset prices using garch as diffusion approximations," Journal of Empirical Finance, Elsevier, vol. 8(1), pages 83-110, March.
- Fabio Fornari & Antonio Mele, 2001. "Recovering the Probability Density Function of Asset Prices Using GARCH as Diffusion Approximations," Temi di discussione (Economic working papers) 396, Bank of Italy, Economic Research and International Relations Area.
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