Closing the GARCH gap: Continuous time GARCH modeling
type: Item
instance of: scholarly article
title: Closing the GARCH gap: Continuous time GARCH modeling
zbMATH Open document ID: 0862.90044
DOI: 10.1016/0304-4076(95)01750-X
author: Feike C. Drost
author: Bas J. M. Werker
published in: Journal of Econometrics
publication date: 1996-12-08T00:00:00Z
Mathematics Subject Classification ID: 91B84
zbMATH DE Number: 955407
zbMATH Keywords: jump-diffusions
zbMATH Keywords: continuous time modeling
zbMATH Keywords: GARCH processes in discrete time
MaRDI profile type: Publication
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Wikidata QID: Q59319344
full work available at URL: 0304-4076(95)01750-x
OpenAlex ID: W1971139264
description: scientific article; zbMATH DE number 955407