Augmented GARCH\((p,q)\) process and its diffusion limit (Q1362059): Difference between revisions

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+Q5560061
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+Generalized autoregressive conditional heteroscedasticity
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+Stationarity of GARCH processes and of some nonnegative time series
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+The stochastic equation <i>Y<sub>n</sub></i><sub>+1</sub>=<i>A<sub>n</sub>Y<sub>n</sub> + B<sub>n</sub></i> with stationary coefficients
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+THE GARCH OPTION PRICING MODEL
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+Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
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+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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+A Class of Nonlinear Arch Models
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+Conditional Heteroskedasticity in Asset Returns: A New Approach
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+ARCH models as diffusion approximations
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+Stock Price Distributions with Stochastic Volatility: An Analytic Approach
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+Q5445942
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+Maximum Likelihood Estimation of Misspecified Models
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+Threshold heteroskedastic models
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+Publication:1362059