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https://elib.bsu.by/handle/123456789/50754| Title: | On The Cotinuous Time Limits Of Arch Models |
| Authors: | Kulikova, E. |
| Keywords: | ЭБ БГУ::ОБЩЕСТВЕННЫЕ НАУКИ::Информатика |
| Issue Date: | 2004 |
| Publisher: | Минск: БГУ |
| Abstract: | In this paper the question of how to approximate a discrete time ARCH models by continuous time diffusions is considered. Different ARCH models will generally result in different limit diffusions. The continuous time limits (weak-sense convergence) are derived for such ARCH models as GARCH, GJR-GARCH, TARCH, APARCH, HGARCH and EGARCH. |
| URI: | http://elib.bsu.by/handle/123456789/50754 |
| Appears in Collections: | 2004. Международная конференция “Моделирование процессов и систем” |
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