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math.PR2025
Long memory score-driven models as approximations for rough Ornstein-Uhlenbeck processes
Yinhao Wu, Ping He
This paper investigates the continuous-time limit of score-driven models with long memory. By extending score-driven models to incorporate infinite-lag structures with coefficients…
math.PR2025
The continuous-time limit of quasi score-driven volatility models
Yinhao Wu, Ping He
This paper explores the continuous-time limit of a class of Quasi Score-Driven (QSD) models that characterize volatility. As the sampling frequency increases and the time interval…