Lee, Sanghoon - Econometric Society - 2004
We present a weak convergence of a discrete time process to a jump-diffusion process as the length of sampling interval … Bollerslev(1986). It is shown that ARCH type models can be used as discrete time approximations of jump-diffusion processes. We … time ARCH process as an approximation of a jump-diffusion process in estimation and forecasting. And we may use the jump-diffusion …