Continuous Time Approximations to GARCH(1, 1)-Family Models and Their Limiting Properties (Q5171930)
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scientific article; zbMATH DE number 6402898
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Continuous Time Approximations to GARCH(1, 1)-Family Models and Their Limiting Properties |
scientific article; zbMATH DE number 6402898 |
Statements
Continuous Time Approximations to GARCH(1, 1)-Family Models and Their Limiting Properties (English)
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12 February 2015
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exponential ergodicity
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diffusion limit
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Lévy-driven volatility process
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modified GARCH(1,1) process
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central limit theorem
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