Reconsidering the continuous time limit of the GARCH(1,1) process

Journal of Econometrics

Volumn 96, Issue 1, 2000, Pages 145-153

  Corradi, Valentina ^a  

^a QUEEN MARY UNIVERSITY OF LONDON   (United Kingdom)

Author keywords

Degenerate diffusions; Diffusion approximation; GARCH

Indexed keywords

EID: 0008164423     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4076(99)00053-6     Document Type: Article

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