Title of article
GARCH and irregularly spaced data
Author/Authors
Nour Meddahi، نويسنده , , Eric Renault، نويسنده , , Bas Werker، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2006
Pages
5
From page
200
To page
204
Abstract
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.
Keywords
Volatility , Continuous time model , Exact discretization
Journal title
Economics Letters
Serial Year
2006
Journal title
Economics Letters
Record number
435848
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