Pages that link to "Item:Q1362059"

The following pages link to Augmented GARCH\((p,q)\) process and its diffusion limit (Q1362059):

Displaying 50 items.

• MIDAS Regressions: Further Results and New Directions (Q130725) (← links)
• A semiparametric GARCH model for foreign exchange volatility (Q274897) (← links)
• Delay times of sequential procedures for multiple time series regression models (Q302113) (← links)
• Non-Gaussian GARCH option pricing models and their diffusion limits (Q320097) (← links)
• Asymptotic distribution of the delay time in Page's sequential procedure (Q393539) (← links)
• Functional central limit theorems for augmented GARCH(\(p\),\(q\)) and FIGARCH processes (Q397230) (← links)
• Stationary Gaussian Markov processes as limits of stationary autoregressive time series (Q512009) (← links)
• Split invariance principles for stationary processes (Q653310) (← links)
• Approximating stochastic volatility by recombinant trees (Q744390) (← links)
• Strong approximation for the sums of squares of augmented GARCH sequences (Q850764) (← links)
• An empirical comparison of GARCH option pricing models (Q867119) (← links)
• Hedging options under transaction costs and stochastic volatility (Q951343) (← links)
• Simulation-based exact jump tests in models with conditional heteroskedasticity (Q951480) (← links)
• Option valuation with co-integrated asset prices (Q951492) (← links)
• The functional central limit theorem for a family of GARCH observations with applications (Q952866) (← links)
• Approximating volatility diffusions with CEV-ARCH models (Q956536) (← links)
• A conditional extreme value volatility estimator based on high-frequency returns (Q959736) (← links)
• Continuous-time GARCH processes (Q997951) (← links)
• Strong approximation for a class of stationary processes (Q1001848) (← links)
• Augmented GARCH sequences: Dependence structure and asymptotics (Q1002569) (← links)
• A class of nonlinear stochastic volatility models and its implications for pricing currency options (Q1010566) (← links)
• Asymptotic results for the empirical process of stationary sequences (Q1016616) (← links)
• Smoothly truncated stable distributions, GARCH-models, and option pricing (Q1028530) (← links)
• Parameter change tests for ARMA-GARCH models (Q1662169) (← links)
• The microstructural foundations of leverage effect and rough volatility (Q1709601) (← links)
• Asymptotic asset pricing and bubbles (Q1744206) (← links)
• Asymptotic nonequivalence of GARCH models and diffusions (Q1848957) (← links)
• Strict stationarity and mixing properties of asymmetric power GARCH models allowing a signed volatility (Q1927544) (← links)
• Reconsidering the continuous time limit of the GARCH(1,1) process (Q1973432) (← links)
• Quadratic hedging schemes for non-Gaussian GARCH models (Q1994523) (← links)
• Limit theory for moderate deviation from integrated GARCH processes (Q2322613) (← links)
• Pointwise adaptive estimation of the marginal density of a weakly dependent process (Q2407072) (← links)
• Mean-variance portfolios using Bayesian vector-autoregressive forcasts (Q2457772) (← links)
• A conditional-SGT-VaR approach with alternative GARCH models (Q2480227) (← links)
• On stationarity and \(\beta\)-mixing property of certain nonlinear \(\text{GARCH}(p,q)\) models (Q2573987) (← links)
• The continuous-time limit of score-driven volatility models (Q2658765) (← links)
• A simple joint model for returns, volatility and volatility of volatility (Q2682964) (← links)
• APPROXIMATING VOLATILITIES BY ASYMMETRIC POWER GARCH FUNCTIONS (Q2810372) (← links)
• SPLINE ESTIMATION OF A SEMIPARAMETRIC GARCH MODEL (Q2826010) (← links)
• Optimal Rate of Convergence for Empirical Quantiles and Distribution Functions for Time Series (Q2830682) (← links)
• GARCH options via local risk minimization (Q2873537) (← links)
• On stationarity and ergodicity of the bilinear model with applications to GARCH models (Q3077644) (← links)
• MIXING PROPERTIES OF A GENERAL CLASS OF GARCH(1,1) MODELS WITHOUT MOMENT ASSUMPTIONS ON THE OBSERVED PROCESS (Q3408521) (← links)
• A NECESSARY AND SUFFICIENT CONDITION FOR THE STRICT STATIONARITY OF A FAMILY OF GARCH PROCESSES (Q3408529) (← links)
• Change‐point monitoring in linear models (Q3422390) (← links)
• ESTIMATION IN CONTINUOUS-TIME STOCHASTIC VOLATILITY MODELS USING NONLINEAR FILTERS (Q3523558) (← links)
• ADAPTIVE DENSITY ESTIMATION FOR GENERAL ARCH MODELS (Q3551012) (← links)
• Simulation and Estimation of the Meixner Distribution (Q3616251) (← links)
• ERGODICITY, MIXING, AND EXISTENCE OF MOMENTS OF A CLASS OF MARKOV MODELS WITH APPLICATIONS TO GARCH AND ACD MODELS (Q3632419) (← links)
• CONVERGENCE SPEED OF GARCH OPTION PRICE TO DIFFUSION OPTION PRICE (Q3637886) (← links)