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Feb 22 2017 Benjamín Vallejo Jiménez and Francisco Venegas Martínez
  Optimal consumption and portfolio rules when the asset price is driven by a time-inhomogeneous Markov modulated fractional Brownian motion with multiple Poisson jumps
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Oct 02 2015 Yazmín V. Soriano-Morales , Francisco Venegas-Martínez and Benjamín Vallejo-Jiménez
  Determination of the equilibrium expansion rate of money when money supply is driven by a time-homogeneous Markov modulated jump diffusion process
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Mar 11 2015 Prateek Sharma and Swati Sharma
  Forecasting gains of robust realized variance estimators: evidence from European stock markets
  Abstract  Contact Information  Citation  Full Text  -  Preliminary Result
 
May 08 2014 Márcio P. Laurini and Roberto B. Mauad
  The stochastic volatility model with random jumps and its application to BRL/USD exchange rate.
  Abstract  Contact Information  Citation  Full Text  -  Preliminary Result
 
Apr 18 2013 Benoît Sévi and César Baena
  The explanatory power of signed jumps for the risk-return tradeoff
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Jan 23 2012 Shuichi Nagata
  Consistent Estimation of Integrated Volatility Using Intraday Absolute Returns for SV Jump Diffusion Processes
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Jan 13 2012 Benoît Sévi and César Baena
  A reassessment of the risk-return tradeoff at the daily horizon
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Nov 13 2011 Benoît Sévi and César Baena
  Brownian motion vs. pure-jump processes for individual stocks
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Oct 28 2008 Wan-Hsiu Cheng
  Overestimation in the Traditional GARCH Model During Jump Periods
  Abstract  Contact Information  Citation  Full Text  -  Preliminary Result