Alexandra, Carol; Lazar, Emese - Henley Business School, University of Reading - 2005
considerable interest for continuous time volatility modelling. The limit of the GARCH(1,1) model is fundamental for limits of … stochastic volatility process that is uncorrelated with the price process but a subsequent paper of Corradi (2000) derived the … limit as a deterministic volatility process and several other contradictory papers followed. In this paper we reconsider …