Closing the GARCH gap

Continuous time GARCH modeling

Research output: Working paperDiscussion paperOther research output

238 Downloads (Pure)
Original languageEnglish
PublisherUnknown Publisher
Number of pages20
Volume1994-2
Publication statusPublished - 1994

Publication series

NameCentER Discussion Paper
Volume1994-2

Keywords

  • Time Models

Cite this

Drost, F. C., & Werker, B. J. M. (1994). Closing the GARCH gap: Continuous time GARCH modeling. (CentER Discussion Paper; Vol. 1994-2). Unknown Publisher.
Drost, F.C. ; Werker, B.J.M. / Closing the GARCH gap : Continuous time GARCH modeling. Unknown Publisher, 1994. (CentER Discussion Paper).
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title = "Closing the GARCH gap: Continuous time GARCH modeling",
keywords = "Time Models",
author = "F.C. Drost and B.J.M. Werker",
note = "Pagination: 20",
year = "1994",
language = "English",
volume = "1994-2",
series = "CentER Discussion Paper",
publisher = "Unknown Publisher",
type = "WorkingPaper",
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}

Drost, FC & Werker, BJM 1994 'Closing the GARCH gap: Continuous time GARCH modeling' CentER Discussion Paper, vol. 1994-2, Unknown Publisher.

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

Unknown Publisher, 1994. (CentER Discussion Paper; Vol. 1994-2).

Research output: Working paperDiscussion paperOther research output

TY - UNPB

T1 - Closing the GARCH gap

T2 - Continuous time GARCH modeling

AU - Drost, F.C.

AU - Werker, B.J.M.

N1 - Pagination: 20

PY - 1994

Y1 - 1994

KW - Time Models

M3 - Discussion paper

VL - 1994-2

T3 - CentER Discussion Paper

BT - Closing the GARCH gap

PB - Unknown Publisher

ER -

Drost FC, Werker BJM. Closing the GARCH gap: Continuous time GARCH modeling. Unknown Publisher. 1994. (CentER Discussion Paper).