Augmented GARCH\((p,q)\) process and its diffusion limit (Q1362059): Difference between revisions
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Augmented GARCH\((p,q)\) process and its diffusion limit |
scientific article |
Statements
Augmented GARCH\((p,q)\) process and its diffusion limit (English)
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3 November 1998
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Lyapunov exponent
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local time
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stationarity
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augmented GARCH process
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Lagrange multiplier test
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diffusion processes
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stochastic volatility
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