Open AccessContinuous Time Approximations to GARCH(1, 1)-Family Models and Their Limiting Properties
Author(s) -
O. Lee
Publication year - 2014
Publication title -
communications for statistical applications and methods
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.326
H-Index - 6
eISSN - 2383-4757
pISSN - 2287-7843
DOI - 10.5351/csam.2014.21.4.327
Subject(s) - ergodic theory , autoregressive conditional heteroskedasticity , mathematics , mixing (physics) , limiting , limit (mathematics) , central limit theorem , stochastic process , statistical physics , econometrics , mathematical analysis , volatility (finance) , statistics , physics , mechanical engineering , quantum mechanics , engineering