Trifi, Amine - In: Studies in Nonlinear Dynamics & Econometrics 10 (2007) 4, pp. 1314-1314
Continuous-time models play a central role in the theory of finance whereas empirical finance makes use of discrete-time models. This article investigates the connection between the two classes of models, particularly between conditional heteroscedastic and diffusion processes. As was advocated...
