Fractional integrated GARCH diffusion limit models (Q2510697)
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scientific article; zbMATH DE number 6324379
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| English | Fractional integrated GARCH diffusion limit models |
scientific article; zbMATH DE number 6324379 |
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Fractional integrated GARCH diffusion limit models (English)
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1 August 2014
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fractional Brownian motion
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approximate approach
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GARCH model
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geometric Brownian motion
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0.8016611933708191
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0.7846924662590027
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0.784245491027832
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0.7821346521377563
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