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Search: subject:"Diffusion limit"
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diffusion limit
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Augmented real-time GARCH : a joint model for returns, volatility and volatility of volatility
Ding, Dexter
-
2021
Persistent link: https://www.econbiz.de/10013254143
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2
Diffusion limits of real-time GARCH
Ding, Yashuang
-
2020
Persistent link: https://www.econbiz.de/10013206472
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3
Weak
diffusion
limit
of real-time GARCH models : the role of current return information
Ding, Yashuang
-
2020
Persistent link: https://www.econbiz.de/10013206474
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4
Price Dynamics in a Markovian Limit Order Market
Cont, Rama
;
Larrard, Adrien De
-
HAL
-
2013
the price, conditional on the state of the order book. We study the
diffusion
limit
of the price process and express the …
Persistent link: https://www.econbiz.de/10010631316
Saved in:
5
Price Dynamics in a Markovian Limit Order Market
Cont, Rama
;
Larrard, Adrien De
-
HAL
-
2010
the price, conditional on the state of the order book. We study the
diffusion
limit
of the price process and express the …
Persistent link: https://www.econbiz.de/10008794238
Saved in:
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