Please use this identifier to cite or link to this item:
https://elib.bsu.by/handle/123456789/50754Full metadata record
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Kulikova, E. | - |
| dc.date.accessioned | 2013-11-05T06:48:37Z | - |
| dc.date.available | 2013-11-05T06:48:37Z | - |
| dc.date.issued | 2004 | - |
| dc.identifier.uri | http://elib.bsu.by/handle/123456789/50754 | - |
| dc.description.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. | ru |
| dc.language.iso | en | ru |
| dc.publisher | Минск: БГУ | ru |
| dc.subject | ЭБ БГУ::ОБЩЕСТВЕННЫЕ НАУКИ::Информатика | ru |
| dc.title | On The Cotinuous Time Limits Of Arch Models | ru |
| dc.type | Article | ru |
| Appears in Collections: | 2004. Международная конференция “Моделирование процессов и систем” | |
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.