Augmented GARCH (p,q) process and its diffusion limit.
A family of parametric GARCH models, defined in terms of an auxiliary process and referred to as the augmented GARCH process is characterized and this process is shown to contain many existing parametric GARCH models. The augmented GARCH process can serve as a general alternative for Language Multi...
| Publicado en: | Journal of Econometrics Vol. 79; pp. 97 - 128 |
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| Formato: | Artículo |
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Elsevier Science
July 1997
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| Acceso en línea: | Ver este registro en EBSCOhost |