Closing the GARCH gap: Continuous time GARCH modeling

Research output: Working paperDiscussion paperOther research output

239 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.