Convex order, quantization and monotone approximations of ARCH models

DOI10.1007/s10959-021-01141-1zbMath1515.60116arXiv1910.00799WikidataQ114225094 ScholiaQ114225094MaRDI QIDQ6326379

Gilles Pagès, Benjamin Jourdain

Publication date: 2 October 2019

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

60G42: Martingales with discrete parameter

94A29: Source coding