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128
Voted
MA
2011
Springer
188
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Communications
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MA 2011
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A copula-based model of speculative price dynamics in discrete time
14 years 10 months ago
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www.econ.yale.edu
This paper suggests a new technique to construct first order Markov processes using products of copula functions, in the spirit of Darsow et al. (1992). The approach requires the...
Umberto Cherubini, Sabrina Mulinacci, Silvia Romag...
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