Issues of aggregation over time of conditional heteroscedastic volatility models : what kind of diffusion do we recover?
Year of publication: |
2006
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Other Persons: | Trifi, Amine (contributor) |
Published in: |
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet. - Berlin : De Gruyter, ISSN 1558-3708, ZDB-ID 1385261-9. - Vol. 10.2006, 4, p. 1-24
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Subject: | Schätztheorie | Estimation theory | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | Aggregation | ARCH-Modell | ARCH model | Heteroskedastizität | Heteroscedasticity |
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