Weak diffusion limit of real-time GARCH models : the role of current return information
Yashuang (Dexter) Ding
| Year of publication: |
[2020]
|
|---|---|
| Authors: | Ding, Yashuang |
| Publisher: |
Cambridge : University of Cambridge, Faculty of Economics |
| Subject: | GARCH | RT-GARCH | SV | diffusion limit | high frequency data | ARCH-Modell | ARCH model | Volatilität | Volatility | Theorie | Theory | Innovationsdiffusion | Innovation diffusion | Zeitreihenanalyse | Time series analysis | Kapitaleinkommen | Capital income | Börsenkurs | Share price |
freely available
| Extent: | 1 Online-Ressource (circa 31 Seiten) |
|---|---|
| Series: | Cambridge working papers in economics. - Cambridge : [Verlag nicht ermittelbar], ZDB-ID 2106951-7. - Vol. 20112 Cambridge-INET working papers. - Cambridge : Cambridge-INET Institute, ZDB-ID 2853905-9. - Vol. 2020, 53 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Graue Literatur ; Non-commercial literature |
| Language: | English |
| Other identifiers: | 10.17863/CAM.62847 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013206474