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
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
Journal title :
Economics Letters
