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Temporal aggregation of volatility models

Meddahi, Nour; Renault, Eric - In: Journal of Econometrics 119 (2004) 2, pp. 355-379

Persistent link: https://www.econbiz.de/10005122707

GARCH and irregularly spaced data

Meddahi, Nour; Renault, Eric; Werker, Bas - In: Economics Letters 90 (2006) 2, pp. 200-204

Persistent link: https://www.econbiz.de/10005095358

Garch and irregularly spaced data

Meddahi, Nour (contributor); Renault, Eric (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001774184

Temporal aggregation of volatility models

Meddahi, Nour; Renault, Eric - In: Journal of econometrics 119 (2004) 2, pp. 355-379

Persistent link: https://www.econbiz.de/10001956326

GARCH and irregularly spaced data

Meddahi, Nour; Renault, Eric; Werker, Bas J. M. - In: Economics letters 90 (2006) 2, pp. 200-204

Persistent link: https://www.econbiz.de/10003275843

GARCH and irregularly spaced data

Meddahi, Nour; Renault, Eric; Werker, Bas - In: Economics letters 90 (2006) 2, pp. 200-204

Persistent link: https://www.econbiz.de/10006748329

Temporal aggregation of volatility models

Meddahi, Nour; Renault, Eric - In: Journal of econometrics 119 (2004) 2, pp. 355-380

Persistent link: https://www.econbiz.de/10006757703

GARCH and Irregularly Spaced Data

Meddahi, Nour; Renault, Eric; Werker, Bas J. M. - 2004

An exact discretization of continuous time stochastic volatility processes observed at irregularly spaced times is used to give insights on how a coherent GARCH model can be specified for such data. The relation of our approach with those in the existing literature is studied

Persistent link: https://www.econbiz.de/10014071554