Pages that link to "Item:Q2640240"
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The following pages link to ARCH models as diffusion approximations (Q2640240):
Displaying 50 items.
- Unified discrete-time and continuous-time models and statistical inferences for merged low-frequency and high-frequency financial data (Q134805) (← links)
- Bootstrap specification tests for diffusion processes (Q261886) (← links)
- No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: theory and testable distributional implications (Q277161) (← links)
- Temporal aggregation of multivariate GARCH processes (Q290974) (← links)
- Option valuation with conditional skewness (Q292018) (← links)
- Testing for a change in persistence in the presence of non-stationary volatility (Q299259) (← links)
- Portfolio insurance: gap risk under conditional multiples (Q299885) (← links)
- Non-Gaussian GARCH option pricing models and their diffusion limits (Q320097) (← links)
- A linear varying coefficient ARCH-M model with a latent variable (Q341354) (← links)
- Limit experiments of GARCH (Q408085) (← links)
- Modelling and forecasting noisy realized volatility (Q429642) (← links)
- V-uniform ergodicity of a continuous time asymmetric power GARCH(1,1) model (Q434725) (← links)
- Maximum likelihood estimation of partially observed diffusion models (Q469573) (← links)
- Asymptotic analysis for stochastic volatility: martingale expansion (Q484204) (← links)
- Stationary Gaussian Markov processes as limits of stationary autoregressive time series (Q512009) (← links)
- Purchasing power parity analyzed through a continuous-time version of the ESTAR model (Q531392) (← links)
- On strong solutions for positive definite jump diffusions (Q554460) (← links)
- Study on option pricing in an incomplete market with stochastic volatility based on risk premium analysis (Q596915) (← links)
- Asymptotic results for sample autocovariance functions and extremes of integrated generalized Ornstein-Uhlenbeck processes (Q605036) (← links)
- Estimators for the long-memory parameter in LARCH models, and fractional Brownian motion (Q625295) (← links)
- Estimation of a multivariate stochastic volatility density by kernel deconvolution (Q631636) (← links)
- Large deviations of realized volatility (Q665439) (← links)
- GARCH, jumps and permanent and transitory components of volatility: the case of the Taiwan exchange rate (Q706644) (← links)
- Do high-frequency measures of volatility improve forecasts of return distributions? (Q737263) (← links)
- Volatility forecasting and microstructure noise (Q737282) (← links)
- A martingale approach for testing diffusion models based on infinitesimal operator (Q737898) (← links)
- Particle filters for continuous likelihood evaluation and maximisation (Q738078) (← links)
- A semiparametric stochastic volatility model (Q738174) (← links)
- American option pricing under GARCH diffusion model: an empirical study (Q741895) (← links)
- Approximating stochastic volatility by recombinant trees (Q744390) (← links)
- Nonparametric Bayesian estimation of a Hölder continuous diffusion coefficient (Q783274) (← links)
- Sharp adaptive estimation of the drift function for ergodic diffusions (Q817979) (← links)
- Econometric analysis of high frequency data (Q862781) (← links)
- An empirical comparison of GARCH option pricing models (Q867119) (← links)
- Diffusion approximation of a Poisson model for cumulative excess returns (Q904431) (← links)
- Estimating the Wishart affine stochastic correlation model using the empirical characteristic function (Q905380) (← links)
- On estimation in conditional heteroskedastic time series models under non-normal distribu\-tions (Q946254) (← links)
- Hedging options under transaction costs and stochastic volatility (Q951343) (← links)
- Option valuation with co-integrated asset prices (Q951492) (← links)
- Approximating volatility diffusions with CEV-ARCH models (Q956536) (← links)
- An option pricing formula for the GARCH diffusion model (Q957204) (← links)
- Testing volatility autocorrelation in the constant elasticity of variance stochastic volatility model (Q961412) (← links)
- American option pricing under stochastic volatility: an empirical evaluation (Q970137) (← links)
- What distinguishes individual stocks from the index? (Q977581) (← links)
- Continuous-time GARCH processes (Q997951) (← links)
- COGARCH as a continuous-time limit of GARCH(1,1) (Q1001841) (← links)
- GARCH modelling in continuous time for irregularly spaced time series data (Q1002568) (← links)
- A class of nonlinear stochastic volatility models and its implications for pricing currency options (Q1010566) (← links)
- Testing diffusion processes for non-stationarity (Q1028540) (← links)
- Cointegration tests with conditional heteroskedasticity. (Q1126488) (← links)
