WEAK DIFFUSION LIMITS OF DYNAMIC CONDITIONAL CORRELATION MODELS
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Publication:5349012
DOI10.1017/S0266466616000128zbMath1441.62712MaRDI QIDQ5349012
Francesco Violante, Christian M. Hafner, Sébastien Laurent
Publication date: 22 August 2017
Published in: Econometric Theory (Search for Journal in Brave)
Related Items (3)
The continuous-time limit of score-driven volatility models ⋮ A simple joint model for returns, volatility and volatility of volatility ⋮ The continuous limit of weak GARCH
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