GARCH and irregularly spaced data

被引：17
|
作者：
Meddahi, N
Renault, E
Werker, B
机构：
[1] Univ Montreal, CIREQ, CIRANO, Dept Sci Econ, Montreal, PQ H3C 3J7, Canada
[2] Tilburg Univ, CentER, Finance Grp & Econometr Grp, NL-5000 LE Tilburg, Netherlands
来源：
ECONOMICS LETTERS | 2006年 / 90卷 / 02期
关键词：
volatility; continuous time model; exact discretization;
D O I：
10.1016/j.econlet.2005.07.027
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
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. (c) 2005 Elsevier B.V. All rights reserved.
引用
收藏
页码：200 / 204
页数：5
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