Augmented GARCH\((p,q)\) process and its diffusion limit (Q1362059)
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scientific article; zbMATH DE number 1042462
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| English | Augmented GARCH\((p,q)\) process and its diffusion limit |
scientific article; zbMATH DE number 1042462 |
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Augmented GARCH\((p,q)\) process and its diffusion limit (English)
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3 November 1998
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Lyapunov exponent
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local time
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stationarity
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augmented GARCH process
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Lagrange multiplier test
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diffusion processes
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stochastic volatility
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0.8927481
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0.8879198
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0.87599635
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0.86641765
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0.8640658
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