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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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Identification Number: 10.1016/S0927-5398(01)00021-4
Item Type: Article
Official URL: http://www.sciencedirect.com/science/journal/09275...
Additional Information: © 2001 Elsevier
Divisions: Financial Markets Group
STICERD
Subjects: H Social Sciences > HG Finance
Date Deposited: 18 Jul 2008 10:37
Last Modified: 20 Feb 2021 01:14
URI: http://eprints.lse.ac.uk/id/eprint/19590

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