COGARCH as a continuous-time limit of GARCH(1,1) (Q1001841): Difference between revisions

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-Jan Kallsen
@@ Property / author: Jan Kallsen / rank @@
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@@ Property / author: Jan Kallsen / rank @@
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+Affine processes and applications in finance
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+Q3721531
@@ Property / cites work: Q3721531 / rank @@
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+Calcul stochastique et problèmes de martingales
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+Q4778955
@@ Property / cites work: Q4778955 / rank @@
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+Limits of compound and thinned point processes
@@ Property / cites work: Limits of compound and thinned point processes / rank @@
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+Q4229056
@@ Property / cites work: Q4229056 / rank @@
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+Q5493554
@@ Property / cites work: Q5493554 / rank @@
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+A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour
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+Weak limit theorems for stochastic integrals and stochastic differential equations
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+ARCH models as diffusion approximations
@@ Property / cites work: ARCH models as diffusion approximations / rank @@
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@@ Property / cites work @@
+Asymptotic nonequivalence of GARCH models and diffusions
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@@ links / mardi / name / links / mardi / name @@
+Publication:1001841