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1. 
Cover image for Modelling stock market volatility : bridging the gap to continuous time
Modelling stock market volatility : bridging the gap to continuous time
by 
Rossi, Peter E. (Peter Eric), 1955-
Format: 
Books
Publication Date 
1996
Excerpt: 
11. Estimating Diffusion Models of Stochastic Volatility / Robert F. Engle and Gary G. J. Lee -- 12
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2. 
Cover image for Likelihood-based inference in cointegrated vector autoregressive models
Likelihood-based inference in cointegrated vector autoregressive models
by 
Johansen, Søren, 1939-
Format: 
Books
Publication Date 
1995
Excerpt: 
theory requires some familiarity with the theory of weak convergence of stochastic processes. The theory
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