GARCH modelling in continuous time for irregularly spaced time series data (Q1002568)

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GARCH modelling in continuous time for irregularly spaced time series data
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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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