Continuous Time Approximations to GARCH(1, 1)-Family Models and Their Limiting Properties
Continuous Time Approximations to GARCH(1, 1)-Family Models and Their Limiting Properties
- 주제(키워드) Exponential ergodicity , diffusion limit , L´evy-driven volatility process , modified GARCH (1 , 1) process , central limit theorem.
- 주제(기타) 통계학
- 설명문(URI) http://www.kci.go.kr/kciportal/ci/sereArticleSearch/ciSereArtiView.kci?sereArticleSearchBean.artiId=ART001898075
- 등재 KCI등재
- 발행기관 한국통계학회
- 발행년도 2014
- 총서유형 Journal
- URI http://www.dcollection.net/handler/ewha/000000108372
- 본문언어 영어
