Augmented GARCH(p,q) process and its diffusion limit

Journal of Econometrics

Volumn 79, Issue 1, 1997, Pages 97-127

  Duan, Jin Chuan ^a  

^a HONG KONG UNIVERSITY OF SCIENCE AND TECHNOLOGY   (Hong Kong)

Author keywords

GARCH; Lagrange multiplier test; Local time; Lyapunov exponent: Diffusion process; Stationarity; Stochastic volatility

Indexed keywords

EID: 0002229006     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4076(97)00009-2     Document Type: Article

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