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- Title:
Continuous time approximations to GARCH and stochastic volatility models
- Document type:
- Buchbeitrag
- Author(s):
- Lindner, A.M.
- Artist:
- Andersen, T.G., Davis, R.A., Kreiß, J.-P. and Mikosch, T. (Eds.)
- 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
- WWW:
- http://link.springer.com/chapter/10.1007%2F978-3-540-71297-8_21
- Semester:
- SS 09
- Format:
- Text
BibTeX