Recovering the probability density function of asset prices using garch as diffusion approximations

Fornari, Fabio; and Mele, Antonio (2001) Recovering the probability density function of asset prices using garch as diffusion approximations. Journal of Empirical Finance, 8 (1). pp. 83-110. ISSN 0927-5398
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Item Type Article
Departments Financial Markets Group
STICERD
DOI 10.1016/S0927-5398(01)00021-4
Date Deposited 18 Jul 2008 10:37
URI https://researchonline.lse.ac.uk/id/eprint/19590

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