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.
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页码：200 / 204
页数：5
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