GARCH modelling in continuous time for irregularly spaced time series data (Q1002568)
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scientific article; zbMATH DE number 5521494
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| English | GARCH modelling in continuous time for irregularly spaced time series data |
scientific article; zbMATH DE number 5521494 |
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GARCH modelling in continuous time for irregularly spaced time series data (English)
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2 March 2009
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COGARCH process
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continuous-time GARCH process
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Lévy process
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pseudo-maximum likelihood estimation
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Skorokhod distance
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stochastic volatility
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0.8956307172775269
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0.8738723993301392
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0.8484392166137695
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0.8431257605552673
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0.8347916603088379
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