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GARCH and Irregularly Spaced Data

Meddahi, Nour, Renault, Eric and Werker, Bas (2006) GARCH and Irregularly Spaced Data. Economics Letters, 90 (2). pp. 200-204.

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Official URL : http://tse-fr.eu/pub/10341
Identification Number : 10.1016/j.econlet.2005.07.027

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.

Item Type: Article
Language: English
Date: February 2006
Refereed: Yes
Subjects: B- ECONOMIE ET FINANCE
Divisions: TSE-R (Toulouse)
Site: UT1
Date Deposited: 18 Jan 2012 05:57
Last Modified: 02 Apr 2021 15:35
OAI Identifier: oai:tse-fr.eu:10341
URI: http://publications.ut-capitole.fr/id/eprint/2859

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