Closing the GARCH gap: Continuous time GARCH modeling

A-Tier
Journal: Journal of Econometrics
Year: 1996
Volume: 74
Issue: 1
Pages: 31-57

Authors (2)

Drost, Feike C. (Universiteit van Tilburg) Werker, Bas J. M. (Universiteit van Tilburg)

Score contribution per author:

2.018 = (α=2.02 / 2 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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Technical Details

RePEc Handle
repec:eee:econom:v:74:y:1996:i:1:p:31-57
Journal Field
Econometrics
Author Count
2
Added to Database
2026-01-25