Closing the GARCH gap: Continuous time GARCH modeling

Research output: Contribution to journalArticleScientificpeer-review

650 Downloads (Pure)
Original languageEnglish
Pages (from-to)31-57
Number of pages27
JournalJournal of Econometrics
Volume74
Publication statusPublished - 1996

Cite this

@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",

}

Closing the GARCH gap : Continuous time GARCH modeling. / Drost, F.C.; Werker, B.J.M.

In: Journal of Econometrics, Vol. 74, 1996, p. 31-57.

Research output: Contribution to journalArticleScientificpeer-review

TY - JOUR

T1 - Closing the GARCH gap

T2 - Continuous time GARCH modeling

AU - Drost, F.C.

AU - Werker, B.J.M.

N1 - Pagination: 27

PY - 1996

Y1 - 1996

M3 - Article

VL - 74

SP - 31

EP - 57

JO - Journal of Econometrics

JF - Journal of Econometrics

SN - 0304-4076

ER -