On measuring volatility of diffusion processes with high frequency data (Q5958532): Difference between revisions

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+Closing the GARCH gap: Continuous time GARCH modeling
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+Augmented GARCH\((p,q)\) process and its diffusion limit
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+An econometric analysis of nonsynchronous trading
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+Fourier series method for measurement of multivariate volatilities
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+Temporal aggregation of volatility models
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+ARCH models as diffusion approximations
@@ Property / cites work: ARCH models as diffusion approximations / rank @@
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+Conditional Heteroskedasticity in Asset Returns: A New Approach
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+https://doi.org/10.1016/s0165-1765(01)00572-9
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