GARCH Model Applications. Comparison of Stationary Solutions of Stochastic Difference and Differential Equations
APLIMAT 2014 : 13th Conference on Applied Mathematics : Proceedings / ed. by D.Velichova ... [et al.]
2014
Aleksandrs Gehsbargs
Main results for stochastic differential equations apply to their stationary solutions. For obvious reasons underlying processes are simulated with stochastic difference equations. Such equations also have stationary solutions that depend on the time step h. In the current paper relation between statistical features of stationary solutions of stochastic difference and differential equations are investigated. Moreover, possible approaches to the choice of time step h are discussed.
Atslēgas vārdi
GARCH models; Stationary solutions; Stochastic difference equations; Stochastic differential equations
Gehsbargs, A. GARCH Model Applications. Comparison of Stationary Solutions of Stochastic Difference and Differential Equations. No: APLIMAT 2014 : 13th Conference on Applied Mathematics : Proceedings / ed. by D.Velichova ... [et al.], Slovākija, Bratislava, 4.-6. februāris, 2014. Bratislava: Slovak University of Technology, 2014, 159.-173.lpp. ISBN 978-80-227-4140-8.
Publikācijas valoda
English (en)