Continuous Time Approximations to GARCH(1, 1)-Family Models and Their Limiting Properties

DOI10.5351/CSAM.2014.21.4.327zbMath1305.62324OpenAlexW2083164393MaRDI QIDQ5171930

Oesook Lee

Publication date: 12 February 2015

Published in: Communications for Statistical Applications and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.5351/csam.2014.21.4.327

zbMATH Keywords

central limit theoremexponential ergodicitydiffusion limitLévy-driven volatility processmodified GARCH(1,1) process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Stochastic integrals (60H05)

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