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Continuous Time Approximations to GARCH(1, 1)-Family Models and Their Limiting Properties
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 Title & Authors
Continuous Time Approximations to GARCH(1, 1)-Family Models and Their Limiting Properties
Lee, O.;
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Various modified GARCH(1, 1) models have been found adequate in many applications. We are interested in their continuous time versions and limiting properties. We first define a stochastic integral that includes useful continuous time versions of modified GARCH(1, 1) processes and give sufficient conditions under which the process is exponentially ergodic and -mixing. The central limit theorem for the process is also obtained.
Exponential ergodicity;diffusion limit;Lvy-driven volatility process;modified GARCH(1, 1) process;central limit theorem;
 Cited by
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