ARMA Representation of Two-Factor Models
Year of publication: |
2002-12-01
|
---|---|
Authors: | Meddahi, Nour |
Institutions: | Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO) |
Subject: | Two-factor models | structural models | ARMA representation | Moving-average roots | continuous time stochastic volatility model | weak GARCH representation | modèles à deux facteurs | modèles structurels | représentation ARMA | racine moyenne-mobile | modèle en temps continu et à volatilité stochastique | représentation GARCH faible |
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