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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Maller, R., Müller, G. and Szimayer, A. 
Titel:
GARCH modelling in continuous time for irregularly spaced time series data 
Abstract:
The discrete time GARCH methodology which has had such a profound influence on the modelling of heteroscedasticity in time series is intuitively well motivated in capturing many “stylised facts” concerning financial series, and is now almost routinely used in a wide range of situations, often including some where the data are not observed at equally spaced intervals of time. But such data is more appropriately analysed with a continuous time model which preserves the essential features of the su...    »
 
Zeitschriftentitel:
Bernoulli 
Jahr:
2008 
Band / Volume:
14 
Heft / Issue:
Seitenangaben Beitrag:
519-542 
Reviewed:
ja 
Sprache:
en 
Status:
Preprint / submitted 
Semester:
SS 08 
Format:
Text