Marín, J. Miguel; Bernal, M. T. Rodríguez; Romero, Eva - Departamento de Estadistica, Universidad Carlos III de … - 2013
GARCH models include most of the stylized facts of financial time series and they have been largely used to analyze discrete financial time series. In the last years, continuous time models based on discrete GARCH models have been also proposed to deal with non-equally spaced observations, as...