scientific article; zbMATH DE number 1820665
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MCMCtime seriesfinanceoptionsvolatilitydiffusionVARMAVaRco-integrationextremeheavy tailedmultiple assets
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Auctions, bargaining, bidding and selling, and other market models (91B26) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01)
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