Fractional integrated GARCH diffusion limit models
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Publication:2510697
DOI10.1016/j.jkss.2008.10.003zbMath1293.91197MaRDI QIDQ2510697
Pairote Sattayatham, Tran Hung Thao, Tidarut Plienpanich
Publication date: 1 August 2014
Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jkss.2008.10.003
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62P05: Applications of statistics to actuarial sciences and financial mathematics
91G70: Statistical methods; risk measures
60G22: Fractional processes, including fractional Brownian motion
91G30: Interest rates, asset pricing, etc. (stochastic models)
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