User: Guest  Login
Document type:
Buchbeitrag 
Author(s):
Lindner, A.M. 
Artist:
Andersen, T.G., Davis, R.A., Kreiß, J.-P. and Mikosch, T. (Eds.) 
Title:
Continuous time approximations to GARCH and stochastic volatility models 
Pages contribution:
481-496 
Abstract:
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. 
Book title:
Andersen, T.G., Davis, R.A., Kreiß, J.-P. and Mikosch, T.: Handbook of Financial Time Series 
Publisher:
Springer 
Year:
2009 
Reviewed:
ja 
Language:
en 
Semester:
SS 09 
Format:
Text