Asymptotic nonequivalence of GARCH models and diffusions
Work
Year: 2002
Type: article
Abstract: This paper investigates the statistical relationship of the GARCH model and its diffusion limit. Regarding the two types of models as two statistical experiments formed by discrete observations from t... more
Source: The Annals of Statistics
Author Yazhen Wang
Institution University of Connecticut
Cites: 51
Cited by: 100
Related to: 10
FWCI: 2.26
Citation percentile (by year/subfield): 97.99
Subfield: Finance
Domain: Social Sciences
Sustainable Development Goal Peace, justice, and strong institutions
Open Access status: bronze