Information for "Approximating volatility diffusions with CEV-ARCH models"

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Display title	Approximating volatility diffusions with CEV-ARCH models
Default sort key	Approximating volatility diffusions with CEV-ARCH models
Page length (in bytes)	15
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Page ID	8955319
Page content language	en - English
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Counted as a content page	Yes
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MaRDI portal item ID	Q956536
Central description	scientific article; zbMATH DE number 5373169

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Page creator	Import240129110113 (talk \| contribs)
Date of page creation	19:50, 30 January 2024
Latest editor	AllProfilePages260409040437 (talk \| contribs)
Date of latest edit	05:51, 12 April 2026
Total number of edits	2
Recent number of edits (within past 90 days)	1
Recent number of distinct authors	1

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MaRDI portal entities used in this page	published in Miscellaneous (e.g. entity existence) Label: en full work available at URL Miscellaneous (e.g. entity existence) Label: en Mathematics Subject Classification ID Miscellaneous (e.g. entity existence) Label: en publication date Miscellaneous (e.g. entity existence) Label: en Closing the GARCH gap: Continuous time GARCH modeling Title Label: en Filtering and forecasting with misspecified ARCH models I. Getting the right variance with the wrong model Label: en Title The pricing of options and corporate liabilities Title Label: en Augmented GARCH\((p,q)\) process and its diffusion limit Title Label: en Estimating continuous-time stochastic volatility models of the short-term interest rate Title Label: en Equilibrium-based volatility models of the market portfolio rate of return (peacock tails or stotting gazelles) Title Antonio Mele Label: en Title Fabio Fornari Label: en Title Generalized autoregressive conditional heteroscedasticity Title Label: en A link between complete models with stochastic volatility and ARCH models Title Filtering and forecasting with misspecified ARCH models. II: Making the right forecast with the wrong model Label: en Title Asymptotic filtering theory for multivariate ARCH models Title Label: en Reconsidering the continuous time limit of the GARCH(1,1) process Title Label: en Asymptotic normality of the MLE in the level-effect ARCH model Title ARCH models as diffusion approximations Label: en Title The continuous-time limit of score-driven volatility models Title Econometric specification of stochastic discount factor models Title Label: en Switching to nonaffine stochastic volatility: a closed-form expansion for the inverse gamma model Title Temporal Aggregation of Garch Processes Title Label: en Simulated Moments Estimation of Markov Models of Asset Prices Title Label: en Conditional Heteroskedasticity in Asset Returns: A New Approach Title Label: en Reprojecting Partially Observed Systems with Application to Interest Rate Diffusions Title Label: en Q3862204 Title Q4002114 Title Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances Title Label: en Q4226355 Title A YIELD‐FACTOR MODEL OF INTEREST RATES Title Label: en Q4230831 Title Asymptotic Filtering Theory for Univariate Arch Models Title Label: en Weak convergence and distributional assumptions for a general class of nonliner arch models Title Label: en Q4782868 Label: en Label: mul Title Q4834284 Title On improved volatility modelling by fitting skewness in ARCH models Title Weak diffusion limits of dynamic conditional correlation models Title An equilibrium characterization of the term structure Title Label: en A closed-form solution for options with stochastic volatility with applications to bond and currency options Title Label: en Q5445942 Title Estimation of volatility using ARCH filters Label: en Title Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach Label: en Title The continuous limit of weak GARCH Title Stochastic volatility in financial markets. Crossing the bridge to continuous time Title Label: en Large Sample Properties of Generalized Method of Moments Estimators Title Label: en Journal of Economic Dynamics and Control Label: en Approximating volatility diffusions with CEV-ARCH models Title Miscellaneous (e.g. entity existence) Label: en Some statements Sitelink