Recovering the probability density function of asset prices using garch as diffusion approximations
Fornari, F. & Mele, A.
(2001).
Recovering the probability density function of asset prices using garch as diffusion approximations.
Journal of Empirical Finance,
8(1), 83-110.
https://doi.org/10.1016/S0927-5398(01)00021-4
| Item Type | Article |
|---|---|
| Copyright holders | © 2001 Elsevier |
| Departments |
LSE > Research Centres > Financial Markets Group LSE > Research Centres > STICERD |
| DOI | 10.1016/S0927-5398(01)00021-4 |
| Date Deposited | 18 Jul 2008 |
| URI | https://researchonline.lse.ac.uk/id/eprint/19590 |
Explore Further
- https://www.scopus.com/pages/publications/0041830388 (Scopus publication)
- http://www.sciencedirect.com/science/journal/09275... (Official URL)