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Document type:
Zeitschriftenaufsatz 
Author(s):
Buchmann, B. and Müller, G. 
Title:
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...    »
 
Keywords:
COGARCH; Le Cam's deficiency distance; random thinning; statistical equivalence; time series 
Journal title:
Bernoulli 
Year:
2012 
Journal volume:
18 
Journal issue:
Pages contribution:
64-99 
Reviewed:
ja 
Language:
en 
Fulltext / DOI:
Status:
Verlagsversion / published 
TUM Institution:
Lehrstuhl für Mathematische Statistik 
Format:
Text