COGARCH as a continuous-time limit of GARCH(1,1)
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Publication:1001841
DOI10.1016/j.spa.2007.12.008zbMath1172.62025MaRDI QIDQ1001841
Jan Kallsen, Bernhard Vesenmayer
Publication date: 19 February 2009
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://macau.uni-kiel.de/receive/publ_mods_00000338
62P20: Applications of statistics to economics
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
60J25: Continuous-time Markov processes on general state spaces
91B84: Economic time series analysis
60F17: Functional limit theorems; invariance principles
Related Items
Limit experiments of GARCH, GARCH modelling in continuous time for irregularly spaced time series data
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