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Meddahi, Nour
, Renault, Eric and Werker, Bas
(2006)
GARCH and Irregularly Spaced Data.
Economics Letters, 90 (2).
pp. 200-204.
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: | https://publications.ut-capitole.fr/id/eprint/2859 |
