Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5062763 | Economics Letters | 2006 | 5 Pages |
Abstract
An exact discretization of continuous time stochastic volatility processes observed at irregularly spaced times is used to give insights on how a coherent GARCH model can be specified for such data. The relation of our approach with those in the existing literature is studied.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Nour Meddahi, Eric Renault, Bas Werker,