106-112 Boulevard de l'hopital
106-112 Boulevard de l'Hôpital
Paris Cedex 13, 75647
France
Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES)
Generalized hyperbolic distribution, Option pricing, Incomplete markets, CAC 40, SP 500, GARCH-type models
Generalized Hyperbolic Distribution, Option Pricing, Incomplete Markets, CAC 40, SP 500, GARCH-Type Models
Density Forecasting, Jumps, Realized Volatility, Bipower Variation, Median Realized Volatility, Leverage Effect
Asymmetry, GARCH, Mixture of Gaussian distributions, Generalized hyperbolic distributions, S&P 500, Leverage effect
