Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in thePHLX Deutschemark Options
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Daniel B. Nelson, 1994. "Asymptotic Filtering Theory for Multivariate ARCH Models," NBER Technical Working Papers 0162, National Bureau of Economic Research, Inc.
- Nelson, Daniel B., 1996. "Asymptotic filtering theory for multivariate ARCH models," Journal of Econometrics, Elsevier, vol. 71(1-2), pages 1-47.
More about this item
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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