Convex order, quantization and monotone approximations of ARCH models

DOI10.1007/S10959-021-01141-1OpenAlexW2977269584WikidataQ114225094 ScholiaQ114225094MaRDI QIDQ2100004

Gilles Pagès, Benjamin Jourdain

Publication date: 21 November 2022

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1910.00799

zbMATH Keywords

martingalesquantizationARCH modelsconvex order

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Martingales with discrete parameter (60G42) Source coding (94A29)

Related Items (1)

Functional convex order for the scaled McKean-Vlasov processes

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