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zbMath1195.60003MaRDI QIDQ3562478

Robert Lorenz

Publication date: 21 May 2010

Full work available at URL: http://edoc.hu-berlin.de/dissertationen/lorenz-robert-2006-03-20/PDF/lorenz.pdf

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

weak approximation discrete time series stochastic delay differential equation GARCH processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Research exposition (monographs, survey articles) pertaining to probability theory (60-02)

Related Items (7)

Pairs trading under delayed cointegration ⋮ Equilibrium pairs trading under delayed cointegration ⋮ Robust Portfolio Choice with Sticky Wages ⋮ Optimal Portfolio Choice with Path Dependent Labor Income: the Infinite Horizon Case ⋮ Weak approximation of SDEs by discrete-time processes ⋮ Stationary Gaussian Markov processes as limits of stationary autoregressive time series ⋮ Data cloning estimation of GARCH and COGARCH models

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