The continuous-time limit of score-driven volatility models
Year of publication: |
2021
|
---|---|
Authors: | Buccheri, Giuseppe ; Corsi, Fulvio ; Flandoli, Franco ; Livieri, Giulia |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 221.2021, 2, p. 655-675
|
Subject: | General error distribution | Score-driven models | Student- | Weak diffusion limits | Theorie | Theory | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | Statistische Verteilung | Statistical distribution |
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