Multifrequency jump-diffusions: An equilibrium approach (Q2469552)
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scientific article; zbMATH DE number 5232875
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| English | Multifrequency jump-diffusions: An equilibrium approach |
scientific article; zbMATH DE number 5232875 |
Statements
Multifrequency jump-diffusions: An equilibrium approach (English)
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6 February 2008
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endogenous jumps
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general equilibrium
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Markov regime-switching
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multifrequency
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fat tails
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stochastic volatility
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time deformation
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volatility component
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0.7627626657485962
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0.7599148750305176
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0.7460222840309143
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0.7326909899711609
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