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Stochastic Volatility Jump‐Diffusions for European Equity Index Dynamics |
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| Authors: | Andreas Kaeck Carol Alexander |
| Affiliation: | ICMA Centre, Henley Business School at the University of Reading, , UK |
| Abstract: | |
| Keywords: | equity indices jump‐diffusions generalised autoregressive conditional heteroscedasticity GARCH Markov chain Monte Carlo MCMC |