GARCH modelling in continuous time for irregularly spaced time series data
نویسندگان
چکیده
منابع مشابه
Irregularly Spaced Time Series Data with Time Scale Measurement Error
This project can be mainly divided into two sections. In the first section it attempts to model an irregularly spaced time series data where time scale is being measured with a measurement error. Modelling an irregularly spaced time series data alone is quite challenging as traditional time series techniques only capture equally/regularly spaced time series data. In addition to that, the measur...
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ژورنال
عنوان ژورنال: Bernoulli
سال: 2008
ISSN: 1350-7265
DOI: 10.3150/07-bej6189