Ari, Yakup - Volkswirtschaftliche Fakultät, … - 2012
Non-linearity is the general characteristic of financial series. Thus, common non-linear models such as GARCH, EGARCH … and TGARCH are used to obtain the volatility of data. in addition , continuous time GARCH (COGARCH) model that is the … extansion and analogue of the discrete time GARCH process, is the new approach for volatility and derivative pricing. COGARCH …