Auflistung nach Autor "Rodrigues, Paulo"
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Level and Slope of Volatility Smiles in Long-Run Risk Models
Branger, Nicole; Rodrigues, Paulo; Schlag, Christian (2017-10-16)We propose a long-run risk model with stochastic volatility, a time-varying mean reversion level of volatility, and jumps in the state variables. The special feature of our model is that the jump intensity is not affine ...