Asymptotic properties of the CARR model

MaRDI QIDQ5452928zbMATH OpenFDO

Authors Jie Zhou, Sanyang Liu

Publication date 4 April 2008

zbMATH Keywords

martingalespersistence

Mathematics Subject Classification ID

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

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(2)

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

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