Fractional integrated GARCH diffusion limit models
type: Item
instance of: scholarly article
title: Fractional integrated GARCH diffusion limit models
zbMATH Open document ID: 1293.91197
author: Tidarut Plienpanich
author: Pairote Sattayatham
author: Tran Hung Thao
published in: Journal of the Korean Statistical Society
publication date: 2014-08-01T00:00:00Z
Mathematics Subject Classification ID: 91G70
Mathematics Subject Classification ID: 60G22
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 91G30
zbMATH DE Number: 6324379
zbMATH Keywords: fractional Brownian motion
zbMATH Keywords: approximate approach
zbMATH Keywords: GARCH model
zbMATH Keywords: geometric Brownian motion
MaRDI profile type: Publication
full work available at URL: j.jkss.2008.10.003
OpenAlex ID: W2018498608
cites work: Q4407617
cites work: ARCH models as diffusion approximations
cites work: An approximate approach to fractional analysis for finance
DOI: 10.1016/J.JKSS.2008.10.003
description: scientific article