1. C. Alexander, E. Lazar, On the continuous limit of GARCH, ICMA Center Discussion Papers in Finance, 2005, p. 13
2. On the statistical equivalence at suitable frequencies of GARCH and stochastic volatility models with the corresponding diffusion models;Brown;Statistica Sinica,2003
3. Affine processes and applications in finance;Duffie;The Annals of Applied Probability,2003
4. Markov Processes. Characterization and Convergence;Ethier,1986
5. Calcul Stochastique et Problèmes de Martingales;Jacod,1979