@techreport{cde7c8bd37ac4692836cc73b60a900a0,
title = "GARCH and Irregularly Spaced Data",
abstract = "An exact discretization of continuous time stochastic volatility processes observed at irregularly spaced times is used to give insights on how a coherent GARCH model can be specified for such data. The relation of our approach with those in the existing literature is studied.",
keywords = "volatility, continuous time model, garch models, time models, exact discretization",
author = "N. Meddahi and E. Renault and B.J.M. Werker",
note = "Pagination: 6",
year = "2003",
language = "English",
volume = "2003-27",
series = "CentER Discussion Paper",
publisher = "Finance",
type = "WorkingPaper",
institution = "Finance",
}