The continuous limit of weak GARCH
نویسندگان
چکیده
منابع مشابه
Limit Experiments of GARCH
GARCH is one of the most prominent nonlinear time series models, both widely applied and thoroughly studied. Recently, it has been shown that the COGARCH model, which has been introduced a few years ago by Klüppelberg, Lindner and Maller, and Nelson’s diffusion limit are the only functional continuous-time limits of GARCH in distribution. In contrast to Nelson’s diffusion limit, COGARCH reprodu...
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ژورنال
عنوان ژورنال: Econometric Reviews
سال: 2020
ISSN: 0747-4938,1532-4168
DOI: 10.1080/07474938.2020.1799592