Augmented GARCH\((p,q)\) process and its diffusion limit
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Publication:1362059
DOI10.1016/S0304-4076(97)00009-2zbMath0898.62141MaRDI QIDQ1362059
Publication date: 3 November 1998
Published in: Journal of Econometrics (Search for Journal in Brave)
stochastic volatilitylocal timestationaritydiffusion processesLyapunov exponentLagrange multiplier testaugmented GARCH process
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)
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