The continuous-time limit of score-driven volatility models
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Publication:2658765
DOI10.1016/j.jeconom.2020.07.042zbMath1471.62491OpenAlexW3020880183MaRDI QIDQ2658765
Fulvio Corsi, Giulia Livieri, Giuseppe Buccheri, Franco Flandoli
Publication date: 24 March 2021
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2020.07.042
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60)
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