Asymptotic properties of the CARR model

zbMATH Open1174.62493MaRDI QIDQ5452928FDOQ5452928

Sanyang Liu, Jie Zhou

Publication date: 4 April 2008

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zbMATH Keywords

martingalespersistence

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Strong limit theorems (60F15)

Cited In (2)

• The Barrett–Crane model: asymptotic measure factor
• Asymptotic properties of multiplicative error models

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