Asymptotic nonequivalence of GARCH models and diffusions

DOI10.1214/aos/1028674841zbMath1029.62006OpenAlexW2050508856MaRDI QIDQ1848957

Yazhen Wang

Publication date: 14 November 2002

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.aos/1028674841

zbMATH Keywords

ARCHconditional varianceBlack-Scholesdeficiency distancecomparison of experimentslikelihood process

Mathematics Subject Classification ID

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