Temporal aggregation of volatility models (Q2439047)

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Language	Label	Description	Also known as
English	Temporal aggregation of volatility models	scientific article

Statements

scholarly article

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Temporal aggregation of volatility models (English)

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Journal of Econometrics

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publication date

7 March 2014

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zbMATH Keywords

GARCH

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stochastic volatility

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state-space

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SR-SARV

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temporal aggregation

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asset returns

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diffusion processes

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MaRDI profile type

MaRDI publication profile

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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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The sample autocorrelations of heavy-tailed processes with applications to ARCH

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The solution of dynamic linear rational expectations models

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Temporal Aggregation of Garch Processes

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Closing the GARCH gap: Continuous time GARCH modeling

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Estimation of Continuous-Time Markov Processes Sampled at Random Time Intervals

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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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A method for calculating bounds on the asymptotic covariance matrices of generalized method of moments estimators

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Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes

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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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full work available at URL

https://doi.org/10.1016/s0304-4076(03)00200-8

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Identifiers

zbMATH Open document ID

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10.1016/S0304-4076(03)00200-8

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:2439047

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