Closing the GARCH gap: Continuous time GARCH modeling

Feike C. Drost (f.c.drost@uvt.nl) and Bas Werker

No 1994-2, Discussion Paper from Tilburg University, Center for Economic Research

Keywords: Time; Models (search for similar items in EconPapers)
Date: 1994
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Citations: View citations in EconPapers (3)

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Journal Article: Closing the GARCH gap: Continuous time GARCH modeling (1996)
Working Paper: Closing the GARCH gap: Continuous time GARCH modeling (1996)
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