Closing the GARCH gap: Continuous time GARCH modeling

Research output: Contribution to journal › Article › Scientific › peer-review

829 Downloads (Pure)

Access to Document

@article{c3d29817403a4ad192958ce780844884,

title = "Closing the GARCH gap: Continuous time GARCH modeling",

author = "F.C. Drost and B.J.M. Werker",

note = "Pagination: 27",

year = "1996",

language = "English",

volume = "74",

pages = "31--57",

journal = "Journal of Econometrics",

issn = "0304-4076",

publisher = "Elsevier BV",

}