Analysis of Stock Market Volatility by Continuous-time GARCH Models

Citation

Muller, G, Durand, R, Maller, R et al 2009, 'Analysis of Stock Market Volatility by Continuous-time GARCH Models', in Greg N Gregoriou (ed.), Stock Market Volatility, Taylor & Francis Group, Boca Raton, FL, USA, pp. 31-50.

Year

2009

ANU Authors

Field of Research

  • Stochastic Analysis And Modelling

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