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What is the best Lévy model for stock indices? A comparative study with a view to time consistency |
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| Authors: | Massing Till |
| Institution: | 1.Faculty of Economics, University of Duisburg-Essen, Universitätsstr. 12, 45117, Essen, Germany ; |
| Abstract: | Financial Markets and Portfolio Management - Lévy models are frequently used for asset log-returns. An important criterion is the distributional assumption on the increments. Candidates... |
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