The continuous-time limit of score-driven volatility models
Giuseppe Buccheri, Fulvio Corsi, Franco Flandoli, Giulia Livieri
| 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
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| Subject: | General error distribution | Score-driven models | Student- | Weak diffusion limits | Volatilität | Volatility | Theorie | Theory | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2020.07.042 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012619254