Andersen, T.G., Davis, R.A., Kreiß, J.-P. and Mikosch, T. (Eds.)
Continuous time approximations to GARCH and stochastic volatility models
We collect some continuous time GARCH models and report on
how they approximate discrete time GARCH processes. Similarly, certain
continuous time volatility models are viewed as approximations to discrete
time volatility models.
Andersen, T.G., Davis, R.A., Kreiß, J.-P. and Mikosch, T.: Handbook of Financial Time Series