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Limit experiments of GARCH

Buchmann, Boris; Muller, Gernot

Description

GARCH is one of the most prominent nonlinear time series models, both widely applied and thoroughly studied. Recently, it has been shown that the COGARCH model (which was introduced a few years ago by Kl├╝ppelberg, Lindner and Maller) and Nelson's diffusi

CollectionsANU Research Publications
Date published: 2012
Type: Journal article
URI: http://hdl.handle.net/1885/61009
Source: Bernoulli
DOI: 10.3150/10-BEJ328

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