Pages that link to "Item:Q2640240"
From MaRDI portal
The following pages link to ARCH models as diffusion approximations (Q2640240):
Displaying 50 items.
- Fractionally integrated generalized autoregressive conditional heteroskedasticity (Q1126491) (← links)
- Closing the GARCH gap: Continuous time GARCH modeling (Q1126492) (← links)
- ARCH modeling in finance. A review of the theory and empirical evidence (Q1185104) (← links)
- Filtering and forecasting with misspecified ARCH models I. Getting the right variance with the wrong model (Q1185106) (← links)
- A comparative evaluation of alternative models of the term structure of interest rates (Q1268217) (← links)
- The GARCH (1,1)-\(M\) model: results for the densities of the variance and the mean (Q1293814) (← links)
- Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study (Q1298478) (← links)
- Local scale models. State space alternative to integraded GARCH processes (Q1318993) (← links)
- Augmented GARCH\((p,q)\) process and its diffusion limit (Q1362059) (← links)
- Efficient estimation in semiparametric GARCH models (Q1372928) (← links)
- Finite sample properties of the ARCH class of models with stochastic volatility (Q1389738) (← links)
- Alternative models for stock price dynamics. (Q1398979) (← links)
- Spectral GMM estimation of continuous-time processes (Q1398981) (← links)
- Simulated maximum likelihood in nonlinear continuous-discrete state space models: importance sampling by approximate smoothing (Q1424631) (← links)
- Simple approximations for option pricing under mean reversion and stochastic volatility (Q1424642) (← links)
- On the choice of test for a unit root when the errors are conditionally heteroskedastic (Q1615170) (← links)
- Equilibrium-based volatility models of the market portfolio rate of return (peacock tails or stotting gazelles) (Q1615808) (← links)
- Model complexity and out-of-sample performance: evidence from S\&P 500 index returns (Q1657302) (← links)
- Microstructure models with short-term inertia and stochastic volatility (Q1665369) (← links)
- Filtering for partially observed diffusion and its applications (Q1673260) (← links)
- The microstructural foundations of leverage effect and rough volatility (Q1709601) (← links)
- Exact simulation of the Ornstein-Uhlenbeck driven stochastic volatility model (Q1713775) (← links)
- A new delta expansion for multivariate diffusions via the Itô-Taylor expansion (Q1740295) (← links)
- Algorithmic estimation of risk factors in financial markets with stochastic drift (Q1762049) (← links)
- Near-integrated GARCH sequences (Q1774201) (← links)
- The correct regularity condition and interpretation of asymmetry in EGARCH (Q1786770) (← links)
- Asymptotic nonequivalence of GARCH models and diffusions (Q1848957) (← links)
- The surprise element: Jumps in interest rates. (Q1858907) (← links)
- Nonstationary nonlinear heteroskedasticity. (Q1858976) (← links)
- Filtering and forecasting with misspecified ARCH models. II: Making the right forecast with the wrong model (Q1893415) (← links)
- Asymptotic filtering theory for multivariate ARCH models (Q1915438) (← links)
- Fitting general stochastic volatility models using Laplace accelerated sequential importance sampling (Q1927096) (← links)
- GARCH and irregularly spaced data (Q1929030) (← links)
- American options with stochastic dividends and volatility: a nonparametric investigation (Q1969814) (← links)
- Reconsidering the continuous time limit of the GARCH(1,1) process (Q1973432) (← links)
- A parsimonious parametric model for generating margin requirements for futures (Q1991253) (← links)
- Quadratic hedging schemes for non-Gaussian GARCH models (Q1994523) (← links)
- Bootstrapping non-stationary stochastic volatility (Q2043261) (← links)
- Spectral thresholding for the estimation of Markov chain transition operators (Q2074325) (← links)
- A score statistic for testing the presence of a stochastic trend in conditional variances (Q2127331) (← links)
- From a stochastic model of economic exchange to measures of inequality (Q2141869) (← links)
- Combined multiplicative-Heston model for stochastic volatility (Q2143315) (← links)
- Bias-optimal vol-of-vol estimation: the role of window overlapping (Q2145695) (← links)
- Volatility estimation and jump detection for drift-diffusion processes (Q2190225) (← links)
- GARCH quasi-likelihood ratios for SV model and the diffusion limit (Q2197597) (← links)
- A Fourier-cosine method for pricing discretely monitored barrier options under stochastic volatility and double exponential jump (Q2209214) (← links)
- Volatility regressions with fat tails (Q2227065) (← links)
- From tick data to semimartingales (Q2240473) (← links)
- Pricing discretely monitored barrier options: when Malliavin calculus expansions meet Hilbert transforms (Q2246590) (← links)
- Hermite expansion of transition densities and European option prices for multivariate diffusions with jumps (Q2246642) (← links)
