Empirical Analysis of Affine Versus Nonaffine Variance Specifications in Jump-Diffusion Models for Equity Indices

DOI10.1080/07350015.2014.922471MaRDI QIDQ6667009FDOQ6667009

Authors: Katja Ignatieva, Paulo R. Rodrigues, Norman J. Seeger 

Publication date: 20 January 2025

Published in: Journal of Business and Economic Statistics (Search for Journal in Brave)

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

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