Temporal aggregation of volatility models (Q2439047): Difference between revisions

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+Markovian representation of stochastic processes and its application to the analysis of autoregressive moving average processes
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+Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
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+Some stationary processes in discrete and continuous time
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+Generalized autoregressive conditional heteroscedasticity
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+Modeling and pricing long memory in stock market volatility
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+Long memory in continuous-time stochastic volatility models
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+Closing the GARCH gap: Continuous time GARCH modeling
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+A YIELD‐FACTOR MODEL OF INTEREST RATES
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+Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
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+Modelling the persistence of conditional variances
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+ESTIMATING WEAK GARCH REPRESENTATIONS
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+Statistical methods in finance
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+Multivariate Stochastic Variance Models
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+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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+Volatility and Links between National Stock Markets
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+Temporal aggregation of volatility models
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+ARCH models as diffusion approximations
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+Conditional Heteroskedasticity in Asset Returns: A New Approach
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+Filtering and forecasting with misspecified ARCH models I. Getting the right variance with the wrong model
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+Asymptotically Optimal Smoothing with Arch Models
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+Asymptotic Filtering Theory for Univariate Arch Models
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+Marginalization and contemporaneous aggregation in multivariate GARCH processes
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+Quadratic ARCH Models
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+Q5445942
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+https://doi.org/10.1016/s0304-4076(03)00200-8
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+W3023857478
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