Weak convergence and distributional assumptions for a general class of nonliner arch models

Econometric Reviews

Volumn 16, Issue 2, 1997, Pages 205-227

  Fornari, Fabio ^a   Mele, Antonio ^b  

^a BANK OF ITALY   (Italy)

^b UNIVERSITÉ PARIS OUEST NANTERRE LA DÉFENSE   (France)

Author keywords

Continuous record asymptotics; Non linear ARCH; Option pricing theory; Stochastic volatility

Indexed keywords

EID: 85071345010     PISSN: 07474938     EISSN: 15324168     Source Type: Journal    
DOI: 10.1080/07474939708800382     Document Type: Article

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