Semi-Lévy driven continuous-time GARCH process

Physica A: Statistical Mechanics and its Applications 2020 / 6

Semi-Lévy driven continuous-time GARCH process

Mohammadi, M., Rezakhah, S., Modarresi, N.
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Journal:
Physica A: Statistical Mechanics and its Applications
DOI:
10.1016/j.physa.2020.124855
Date:
June, 2020
File:
PDF, 857 KB
2020
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