Augmented GARCH\((p,q)\) process and its diffusion limit
type: Item
instance of: scholarly article
title: Augmented GARCH\((p,q)\) process and its diffusion limit
zbMATH Open document ID: 0898.62141
DOI: 10.1016/S0304-4076(97)00009-2
author: Jin-Chuan Duan
published in: Journal of Econometrics
publication date: 1998-11-03T00:00:00Z
Mathematics Subject Classification ID: 62P20
Mathematics Subject Classification ID: 60J70
Mathematics Subject Classification ID: 62M10
zbMATH DE Number: 1042462
zbMATH Keywords: Lyapunov exponent
zbMATH Keywords: local time
zbMATH Keywords: stationarity
zbMATH Keywords: augmented GARCH process
zbMATH Keywords: Lagrange multiplier test
zbMATH Keywords: diffusion processes
zbMATH Keywords: stochastic volatility
MaRDI profile type: Publication
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description: scientific article; zbMATH DE number 1042462