Exercise 7.5 Suppose that the innovations are of the form i = (i )/ ,
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Exercise 7.5 Suppose that the innovations are of the form εi = (i − ν)/
√
ν, with
i ∼ Gamma(ν, 1), with ν > 0. Find the continuous time approximation of a GARCH(1,1) process with these innovations.
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Related Book For 
Statistical Methods For Financial Engineering
ISBN: 9781032477497
1st Edition
Authors: Bruno Remillard
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