GARCHIto

CRANGARCHItoMaRDI QIDQ134811FDOQ134811

Class of GARCH-Ito Models

Xinyu Song

Last update: 14 September 2020

Copyright license: GNU General Public License, version 3.0

Software version identifier: 0.1.0

Cites work

• Unified discrete-time and continuous-time models and statistical inferences for merged low-frequency and high-frequency financial data
• Volatility analysis with realized GARCH-Itô models

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