Temporal aggregation of volatility models (Q2439047)

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Temporal aggregation of volatility models
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    title
    Temporal aggregation of volatility models (English)
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    author
    Nour Meddahi
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    Eric Renault
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    publication date
    7 March 2014
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    Mathematics Subject Classification ID
    91B70
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    62P05
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    91B84
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    62M10
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    zbMATH DE Number
    6266296
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    zbMATH Keywords
    GARCH
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    stochastic volatility
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    state-space
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    SR-SARV
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    temporal aggregation
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    asset returns
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    diffusion processes
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    cites work
    Q4372026
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    Q4303969
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    Quadratic ARCH Models
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    Q5445942
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    OpenAlex ID
    W3023857478
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