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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Buchmann, B. and Müller, G. 
Titel:
Limit experiments of GARCH 
Abstract:
GARCH is one of the most prominent nonlinear time series models, both widely applied and thoroughly studied. Recently, it has been shown that the COGARCH model, which has been introduced a few years ago by Klüppelberg, Lindner and Maller, and Nelson's diffusion limit are the only functional continuous-time limits of GARCH in distribution. In contrast to Nelson's diffusion limit, COGARCH reproduces most of the stylized facts of financial time series. Since it has been proved, that Nelson's diffus...    »
 
Stichworte:
COGARCH; Le Cam's deficiency distance; random thinning; statistical equivalence; time series 
Zeitschriftentitel:
Bernoulli 
Jahr:
2012 
Band / Volume:
18 
Heft / Issue:
Seitenangaben Beitrag:
64-99 
Reviewed:
ja 
Sprache:
en 
Status:
Verlagsversion / published 
TUM Einrichtung:
Lehrstuhl für Mathematische Statistik 
Format:
Text