Lévy-driven time series models for financial data
نویسندگان
چکیده
The ARCH and GARCH models of Engle (1982) and Bollerslev (1986) respectively have had great success in the modelling of financial time series. Discrete-time stochastic volatility models have also been found to be very useful in representing the time-variation of volatility observed in such data. In this review we discuss Lévy-driven continuous-time versions of these processes and some related inference questions.
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تاریخ انتشار 2011