A Bivariate Mutually-Excited Switching Jump Diffusion (BMESJD) for asset prices

Donatien Hainaut and Griselda Deelstra

No 2018011, LIDAM Discussion Papers ISBA from Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)

Date: 2018-01-01
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