Asymptotic nonequivalence of GARCH models and diffusions

Annals of Statistics

Volumn 30, Issue 3, 2002, Pages 754-783

  Wang, Yazhen ^a  

^a UNIVERSITY OF CONNECTICUT   (United States)

Author keywords

ARCH; Black Scholes; Comparison of experiments; Conditional variance; Deficiency distance; Financial modeling; Likelihood process; Stochastic differential equation; Stochastic volatility

Indexed keywords

EID: 0036051612     PISSN: 00905364     EISSN: None     Source Type: Journal    
DOI: 10.1214/aos/1028674841     Document Type: Article

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