Bayesian analysis of stochastic volatility models with fat-tails and correlated errors

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On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks

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ARCH modeling in finance

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The Pricing of Options on Assets with Stochastic Volatilities

John Hull, Alan White · The Journal of Finance · 1987 · 3.9K citations · Full text

Business, Economics, Finance +12