ARCH models as diffusion approximations

DOI10.1016/0304-4076(90)90092-8zbMath0719.60089MaRDI QIDQ2640240

Publication date: 1990

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(90)90092-8

zbMATH Keywords

stochastic differential equations; diffusion approximations; convergence of stochastic difference equations

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

60J70: Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)

60H99: Stochastic analysis

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