From Discrete to Continuous: Modeling Volatility of the Istanbul Stock Exchange Market with GARCH and COGARCH
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References listed on IDEAS
- Ross A. Maller & Gernot Muller & Alex Szimayer, 2008. "GARCH modelling in continuous time for irregularly spaced time series data," Papers 0805.2096, arXiv.org.
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KeywordsISE100; IMKB100; GARCH Modeling; COGARCH Modeling; discrete modeling; continuous modeling;
- C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-01-16 (All new papers)
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