GARCH and Irregularly Spaced Data

An exact discretization of continuous time stochastic volatility processes observed at irregularly spaced times is used to give insights on how a coherent GARCH model can be specified for such data. The relation of our approach with those in the existing literature is studied

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Year of publication:	2004
Authors:	Meddahi, Nour ; Renault, Eric ; Werker, Bas J. M.
Publisher:	[S.l.] : SSRN
Subject:	ARCH-Modell \| ARCH model \| Zeitreihenanalyse \| Time series analysis \| Volatilität \| Volatility \| Schätztheorie \| Estimation theory
Description of contents:	Abstract [papers.ssrn.com]

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Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments 2003 erstellt Volltext nicht verfügbar
Classification:	C22 - Time-Series Models
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014071554