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

@@ Property / cites work @@
+Markovian representation of stochastic processes and its application to the analysis of autoregressive moving average processes
+Normal rank
@@ Property / cites work @@
+Q4372026
@@ Property / cites work: Q4372026 / rank @@
+Normal rank
@@ Property / cites work @@
+Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
+Normal rank
@@ Property / cites work @@
+Some stationary processes in discrete and continuous time
+Normal rank
@@ Property / cites work @@
+Generalized autoregressive conditional heteroscedasticity
+Normal rank
@@ Property / cites work @@
+Modeling and pricing long memory in stock market volatility
+Normal rank
@@ Property / cites work @@
+Long memory in continuous-time stochastic volatility models
+Normal rank
@@ Property / cites work @@
+The sample autocorrelations of heavy-tailed processes with applications to ARCH
+Normal rank
@@ Property / cites work @@
+The solution of dynamic linear rational expectations models
+Normal rank
@@ Property / cites work @@
+Temporal Aggregation of Garch Processes
@@ Property / cites work: Temporal Aggregation of Garch Processes / rank @@
+Normal rank
@@ Property / cites work @@
+Closing the GARCH gap: Continuous time GARCH modeling
+Normal rank
@@ Property / cites work @@
+Estimation of Continuous-Time Markov Processes Sampled at Random Time Intervals
+Normal rank
@@ Property / cites work @@
+A YIELD‐FACTOR MODEL OF INTEREST RATES
@@ Property / cites work: A YIELD‐FACTOR MODEL OF INTEREST RATES / rank @@
+Normal rank
@@ Property / cites work @@
+Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
+Normal rank
@@ Property / cites work @@
+Modelling the persistence of conditional variances
+Normal rank
@@ Property / cites work @@
+ESTIMATING WEAK GARCH REPRESENTATIONS
@@ Property / cites work: ESTIMATING WEAK GARCH REPRESENTATIONS / rank @@
+Normal rank
@@ Property / cites work @@
+Statistical methods in finance
@@ Property / cites work: Statistical methods in finance / rank @@
+Normal rank
@@ Property / cites work @@
+A method for calculating bounds on the asymptotic covariance matrices of generalized method of moments estimators
+Normal rank
@@ Property / cites work @@
+Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes
+Normal rank
@@ Property / cites work @@
+Multivariate Stochastic Variance Models
@@ Property / cites work: Multivariate Stochastic Variance Models / rank @@
+Normal rank
@@ Property / cites work @@
+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
+Normal rank
@@ Property / cites work @@
+Q4303969
@@ Property / cites work: Q4303969 / rank @@
+Normal rank
@@ Property / cites work @@
+Volatility and Links between National Stock Markets
+Normal rank
@@ Property / cites work @@
+Temporal aggregation of volatility models
@@ Property / cites work: Temporal aggregation of volatility models / rank @@
+Normal rank
@@ Property / cites work @@
+ARCH models as diffusion approximations
@@ Property / cites work: ARCH models as diffusion approximations / rank @@
+Normal rank
@@ Property / cites work @@
+Conditional Heteroskedasticity in Asset Returns: A New Approach
+Normal rank
@@ Property / cites work @@
+Filtering and forecasting with misspecified ARCH models I. Getting the right variance with the wrong model
+Normal rank
@@ Property / cites work @@
+Asymptotically Optimal Smoothing with Arch Models
@@ Property / cites work: Asymptotically Optimal Smoothing with Arch Models / rank @@
+Normal rank
@@ Property / cites work @@
+Asymptotic Filtering Theory for Univariate Arch Models
+Normal rank
@@ Property / cites work @@
+Marginalization and contemporaneous aggregation in multivariate GARCH processes
+Normal rank
@@ Property / cites work @@
+Quadratic ARCH Models
@@ Property / cites work: Quadratic ARCH Models / rank @@
+Normal rank
@@ Property / cites work @@
+Q5445942
@@ Property / cites work: Q5445942 / rank @@
+Normal rank