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Limit experiments of GARCH

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Date

2012

Authors

Buchmann, Boris
Muller, Gernot

Journal Title

Journal ISSN

Volume Title

Publisher

Chapman & Hall

Abstract

GARCH is one of the most prominent nonlinear time series models, both widely applied and thoroughly studied. Recently, it has been shown that the COGARCH model (which was introduced a few years ago by Klüppelberg, Lindner and Maller) and Nelson's diffusi

Description

Keywords

Citation

URI

http://hdl.handle.net/1885/61009

Collections

Open Access Research

Source

Bernoulli

Type

Journal article

Book Title

Entity type

Access Statement

License Rights

DOI

10.3150/10-BEJ328

Restricted until

2037-12-31

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Description
01_Buchmann_Limit_experiments_of_GARC_2012.pdf (1.9 MB)

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