Closing the GARCH gap: Continuous time GARCH modeling

Journal of Econometrics

Volumn 74, Issue 1, 1996, Pages 31-57

  Drost, Feike C ^a   Werker, Bas J M ^a  

^a TILBURG UNIVERSITY   (Netherlands)

Author keywords

Continuous time modeling; Diffusions; GARCH; Jump diffusions

Indexed keywords

EID: 0001867163     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/0304-4076(95)01750-X     Document Type: Article

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