ARCH models as diffusion approximations

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Publication:2640240

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DOI10.1016/0304-4076(90)90092-8zbMath0719.60089OpenAlexW1994177366MaRDI QIDQ2640240

Daniel B. Nelson

Publication date: 1990

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(90)90092-8

zbMATH Keywords

stochastic differential equations diffusion approximations convergence of stochastic difference equations

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Stochastic analysis (60H99)

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