Jiaxin Wang

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General Auto-Regressive Asset Model

Number of pages: 40 Posted: 02 Jul 2009 Last Revised: 07 Jan 2010
affiliation not provided to SSRN, Credit Suisse Securities, affiliation not provided to SSRN, affiliation not provided to SSRN, affiliation not provided to SSRN, Stevens Institute of Technology and Volaris Capital Management
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Abstract:

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asymmetry, skewness, leverage-effect, kurtosis, filtering, conditional simulation, financial time-series