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GARCH Modelling in continuous time for irregularly spaced time series data

Maller, Ross; Muller, Gernot; Szimayer, Alex


The discrete-time GARCH methodology which has had such a profound influence on the modelling of heteroscedasticity in time series is intuitively well motivated in capturing many 'stylized facts' concerning financial series, and is now almost routinely used in a wide range of situations, often including some where the data are not observed at equally spaced intervals of time. However, such data is more appropriately analyzed with a continuous-time model which preserves the essential features of...[Show more]

CollectionsANU Research Publications
Date published: 2008
Type: Journal article
Source: Bernoulli
DOI: 10.3150/07-BEJ6189


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