Recovering the Probability Density Function of Asset Prices using Garch as Diffusion Approximations

Fabio Fornari () and Antonio Mele

No 2000-12, Thema Working Papers from THEMA (Théorie Economique, Modélisation et Applications), CY Cergy-Paris University, ESSEC and CNRS

Date: 2000
New Economics Papers: this item is included in nep-ets and nep-fmk
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Related works:
Journal Article: Recovering the probability density function of asset prices using garch as diffusion approximations (2001)
Working Paper: Recovering the Probability Density Function of Asset Prices Using GARCH as Diffusion Approximations (2001)
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