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Jaschke, Stefan R.
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Discussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 1998,23
We establish a relation between stochastic volatility models and the class of generalized hyperbolic distributions. These distributions have been found to fit exceptionally well to the empirical distribution of stock returns. We review the background of hyperbolic distributions and prove stationary distributions of certain GARCH-type models to be generalized hyperbolic.
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Working Paper

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