THE DIFFUSION LIMIT OF A TVP-GQARCH-M(1,1) MODEL
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Publication:4814250
DOI10.1017/S0266466604201074zbMath1046.62086MaRDI QIDQ4814250
Publication date: 7 September 2004
Published in: Econometric Theory (Search for Journal in Brave)
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)
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