On the statistical equivalence at suitable frequencies of garch and stochastic volatility models with the corresponding diffusion model

Statistica Sinica

Volumn 13, Issue 4, 2003, Pages 993-1013

  Brown, Lawrence D ^a   Wang, Yazhen ^b   Zhao, Linda H ^a  

^a UNIVERSITY OF PENNSYLVANIA   (United States)

^b UNIVERSITY OF CONNECTICUT   (United States)

Author keywords

Conditional variance; Deficiency distance; Financial modeling; Frequency; Stochastic differential equation; Stochastic volatility

Indexed keywords

EID: 0346968381     PISSN: 10170405     EISSN: None     Source Type: Journal    
DOI: None     Document Type: Article

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