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Limit experiments of GARCH

Buchmann, Boris; Muller, Gernot


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
Source: Bernoulli
DOI: 10.3150/10-BEJ328
Access Rights: Open Access


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