GARCH and Irregularly Spaced Data

Nour Meddahi, Eric Renault and Bas Werker

No 2003-27, Discussion Paper from Tilburg University, Center for Economic Research

Keywords: volatility; continuous time model; garch models; time models; exact discretization (search for similar items in EconPapers)
Date: 2003
References: Add references at CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
https://repository.tilburguniversity.edu/bitstream ... d8986dbd379/download (application/pdf)

Related works:
Journal Article: GARCH and irregularly spaced data (2006)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:tiu:tiucen:cde7c8bd-37ac-4692-836c-c73b60a900a0

Access Statistics for this paper

More papers in Discussion Paper from Tilburg University, Center for Economic Research
Bibliographic data for series maintained by Richard Broekman ().