| Original language | English |
|---|---|
| Pages (from-to) | 31-57 |
| Number of pages | 27 |
| Journal | Journal of Econometrics |
| Volume | 74 |
| Publication status | Published - 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",
}
Drost, FC & Werker, BJM 1996, 'Closing the GARCH gap: Continuous time GARCH modeling', Journal of Econometrics, vol. 74, pp. 31-57.
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 journal › Article › Scientific › peer-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 -