TY  - JOUR
AU  - Marín, J.M.
AU  - Rodríguez Bernal, María Teresa
PY  - 2015
DO  - 10.1080/00949655.2014.903948
SN  - 0094-9655
UR  - https://hdl.handle.net/20.500.14352/24109
T2  - Journal of Statistical Computation and Simulation
AB  - GARCH models include most of the stylized facts of financial time series and they have  been largely used to analyze discrete financial time series. In the last years, continuous time models based on discrete GARCH models have been also proposed to...
LA  - eng
M2  - 1818
PB  - Taylor & Francis
KW  - GARCH
KW  - Continuous-time GARCH process
KW  - Lévy process
KW  - COGARCH
KW  - Data cloning
KW  - Bayesian inference
KW  - MCMC algorithm
TI  - Data cloning estimation of GARCH and COGARCH models
TY  - journal article
VL  - 85
ER  -