COGARCH as a continuous-time limit of GARCH(1,1) (Q1001841)

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COGARCH as a continuous-time limit of GARCH(1,1)
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    title
    COGARCH as a continuous-time limit of GARCH(1,1) (English)
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    author
    Jan Kallsen
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    Bernhard Vesenmayer
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    publication date
    19 February 2009
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    Mathematics Subject Classification ID
    62M10
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    60F17
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    62P20
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    60J25
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    91B84
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    zbMATH DE Number
    5509501
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    zbMATH Keywords
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