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Validating multiple structural change models-a case study (replication data)
In a recent article, Bai and Perron (2003, Journal of Applied Econometrics) present a comprehensive discussion of computational aspects of multiple structural change models... -
Parametric pricing of higher order moments in S&P500 options (replication...
A general parametric framework based on the generalized Student t-distribution is developed for pricing S&P500 options. Higher order moments in stock returns as well as...
