The extension from independence to dependence between jump...

The North American Journal of Economics and Finance 2016 / 07 Vol. 37

The extension from independence to dependence between jump frequency and jump size in Markov-modulated jump diffusion models

Lin, Shih-Kuei, Peng, Jin-Lung, Chao, Wei-Hsiung, Wu, An-Chi
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Volume:
37
Language:
english
Journal:
The North American Journal of Economics and Finance
DOI:
10.1016/j.najef.2016.04.003
Date:
July, 2016
File:
PDF, 560 KB
english, 2016
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