An Equilibrium Model of the Term Structure with Stochastic Volatility
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- 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.
- 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.
- 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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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2001-10-22 (All new papers)
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