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:	2003
Authors:	Werker, Bas J.M. ; Meddahi, N. ; Renault, E.
Institutions:	Tilburg University, Center for Economic Research
Subject:	volatility \| continuous time model \| garch models \| time models \| exact discretization

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Extent:	application/pdf
Series:	Discussion Paper.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series CentER Discussion Paper Number 2003-27
Classification:	C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011091048