Asymptotic nonequivalence of GARCH models and diffusions (Q1848957)
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scientific article; zbMATH DE number 1829100
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| English | Asymptotic nonequivalence of GARCH models and diffusions |
scientific article; zbMATH DE number 1829100 |
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Asymptotic nonequivalence of GARCH models and diffusions (English)
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14 November 2002
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Black-Scholes
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conditional variance
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comparison of experiments
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deficiency distance
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ARCH
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likelihood process
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0.8513892889022827
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0.8478782176971436
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0.8202555179595947
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