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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 Klüppelberg, Lindner and Maller) and Nelson's diffusi

dc.contributor.authorBuchmann, Boris
dc.contributor.authorMuller, Gernot
dc.date.accessioned2015-12-10T22:59:16Z
dc.identifier.issn1350-7265
dc.identifier.urihttp://hdl.handle.net/1885/61009
dc.description.abstractGARCH 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 Klüppelberg, Lindner and Maller) and Nelson's diffusi
dc.publisherChapman & Hall
dc.rightsAuthor/s retain copyright
dc.sourceBernoulli
dc.subjectKeywords: COGARCH; Le Cam's deficiency distance; Random thinning; Statistical equivalence; Time series
dc.titleLimit experiments of GARCH
dc.typeJournal article
local.description.notesImported from ARIES
local.identifier.citationvolume18
dc.date.issued2012
local.identifier.absfor010405 - Statistical Theory
local.identifier.ariespublicationf5625xPUB580
local.type.statusPublished Version
local.contributor.affiliationBuchmann, Boris, College of Physical and Mathematical Sciences, ANU
local.contributor.affiliationMuller, Gernot, Munich University of Technology
local.bibliographicCitation.issue1
local.bibliographicCitation.startpage64
local.bibliographicCitation.lastpage99
local.identifier.doi10.3150/10-BEJ328
dc.date.updated2016-02-24T09:27:19Z
local.identifier.scopusID2-s2.0-84856614267
local.identifier.thomsonID000300801000004
dcterms.accessRightsOpen Access
CollectionsANU Research Publications

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