GARCH modelling in continuous time for irregularly spaced time series data (Q1002568): Difference between revisions
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | GARCH modelling in continuous time for irregularly spaced time series data |
scientific article |
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GARCH modelling in continuous time for irregularly spaced time series data (English)
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2 March 2009
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COGARCH process
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continuous-time GARCH process
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Lévy process
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pseudo-maximum likelihood estimation
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Skorokhod distance
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stochastic volatility
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