"Fat tails and non-linearity in volatility models: what is more important?"

Christian Schittenkopf, Georg Dorffner, Engelbert J. Dockner (1999)

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DOI: 10.1109/CIFER.1999.771126

access: closed

type: Conference or Workshop Paper

metadata version: 2017-05-19

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Christian Schittenkopf, Georg Dorffner, Engelbert J. Dockner:
Fat tails and non-linearity in volatility models: what is more important? CIFEr 1999: 259-266

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