Stochastic volatility duration models
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Publication:2439049
DOI10.1016/S0304-4076(03)00202-1zbMath1282.91237WikidataQ56602075 ScholiaQ56602075MaRDI QIDQ2439049
Eric Ghysels, Christian Gouriéroux, Joanna Jasiak
Publication date: 7 March 2014
Published in: Journal of Econometrics (Search for Journal in Brave)
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic models in economics (91B70)
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