Continuous-time GARCH processes
نویسندگان
چکیده
منابع مشابه
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∗Preliminary Comments are welcome. Paper written for the Handbook of Financial Econometrics edited by Yacine Aı̈t-Sahalia and Lars Peter Hansen. We thank Darrell Duffie, Benoit Perron and Mark Watson for discussions and Seoyeon Lee for research assistance. Bandi acknowledges financial support from the IBM Corporation Faculty Research Fund at the University of Chicago. Phillips thanks fhe NSF for...
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ژورنال
عنوان ژورنال: The Annals of Applied Probability
سال: 2006
ISSN: 1050-5164
DOI: 10.1214/105051606000000150