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Search: subject:"Weak diffusion limits"
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Weak diffusion limits
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The continuous-time limit of score-driven volatility models
Buccheri, Giuseppe
;
Corsi, Fulvio
;
Flandoli, Franco
; …
- In:
Journal of econometrics
221
(
2021
)
2
,
pp. 655-675
Persistent link: https://www.econbiz.de/10012619254
Saved in:
2
Weak
diffusion
limits
of dynamic conditional correlation models
Hafner, Christian M.
;
Laurent, Sebastien
;
Violante, …
-
School of Economics and Management, University of Aarhus
-
2015
of the gaps by deriving
weak
diffusion
limits
of a modified version of the classical DCC model. The limiting system of …
Persistent link: https://www.econbiz.de/10011122366
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