Augmented GARCH\((p,q)\) process and its diffusion limit (Q1362059)
From MaRDI portal
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)
0 references
3 November 1998
0 references
Lyapunov exponent
0 references
local time
0 references
stationarity
0 references
augmented GARCH process
0 references
Lagrange multiplier test
0 references
diffusion processes
0 references
stochastic volatility
0 references
0 references
0 references
