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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
Official URL: http://www.sciencedirect.com/science/journal/09275...
Additional Information: © 2001 Elsevier
Library of Congress subject classification: H Social Sciences > HG Finance
Sets: Research centres and groups > Financial Markets Group (FMG)
Collections > Economists Online
Research centres and groups > Suntory and Toyota International Centres for Economics and Related Disciplines (STICERD)
Rights: http://www.lse.ac.uk/library/usingTheLibrary/academicSupport/OA/depositYourResearch.aspx
Date Deposited: 18 Jul 2008 10:37
URL: http://eprints.lse.ac.uk/19590/

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