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ESTIMATION AND TESTING IN MODELS CONTAINING BOTH JUMPS AND CONDITIONAL HETEROSCEDASTICITY
Authors: DROST FC NIJMAN TE WERKER BJM
Citation: Fc. Drost et al., ESTIMATION AND TESTING IN MODELS CONTAINING BOTH JUMPS AND CONDITIONAL HETEROSCEDASTICITY, Journal of business & economic statistics, 16(2), 1998, pp. 237-243
CLOSING THE GARCH GAP - CONTINUOUS-TIME GARCH MODELING
Authors: DROST FC WERKER BJM
Citation: Fc. Drost et Bjm. Werker, CLOSING THE GARCH GAP - CONTINUOUS-TIME GARCH MODELING, Journal of econometrics, 74(1), 1996, pp. 31-57
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