GARCH modelling in continuous time for irregularly spaced time series data (Q1002568): Difference between revisions

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+.2096
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+Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
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+Generalized autoregressive conditional heteroscedasticity
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+Reconsidering the continuous time limit of the GARCH(1,1) process
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+Stability of perpetuities
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+Method of moment estimation in the COGARCH(1,1) model
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+Option Pricing in ARCH-type Models
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+COGARCH as a continuous-time limit of GARCH(1,1)
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+A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour
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+A MULTINOMIAL APPROXIMATION FOR AMERICAN OPTION PRICES IN LÉVY PROCESS MODELS
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+Ornstein–Uhlenbeck Processes and Extensions
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+ARCH models as diffusion approximations
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+Asymptotic nonequivalence of GARCH models and diffusions
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