Pages that link to "Item:Q1126492"

The following pages link to Closing the GARCH gap: Continuous time GARCH modeling (Q1126492):

Displaying 26 items.

• MIDAS Regressions: Further Results and New Directions (Q130725) (← links)
• Temporal aggregation of multivariate GARCH processes (Q290974) (← links)
• Monitoring disruptions in financial markets (Q291846) (← links)
• The dynamic power law model (Q482073) (← links)
• Causality effects in return volatility measures with random times (Q737283) (← links)
• Long-memory and heterogeneous components in high frequency Pacific-Basin exchange rate volatility (Q867688) (← links)
• Approximating volatility diffusions with CEV-ARCH models (Q956536) (← links)
• Continuous-time GARCH processes (Q997951) (← links)
• Efficient estimation in semiparametric GARCH models (Q1372928) (← links)
• Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data (Q1584769) (← links)
• Microstructure models with short-term inertia and stochastic volatility (Q1665369) (← links)
• Modeling the interdependence of volatility and inter-transaction duration processes. (Q1858921) (← links)
• GARCH and irregularly spaced data (Q1929030) (← links)
• Nonparametric estimation of stochastic volatility models (Q1929062) (← links)
• Reconsidering the continuous time limit of the GARCH(1,1) process (Q1973432) (← links)
• Nonstationary generalised autoregressive conditional heteroskedasticity modelling for fitting higher order moments of financial series within moving time windows (Q2149183) (← links)
• Volatility regressions with fat tails (Q2227065) (← links)
• Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing (Q2347718) (← links)
• Editorial: Dynamic factor models (Q2439042) (← links)
• Temporal aggregation of volatility models (Q2439047) (← links)
• The continuous-time limit of score-driven volatility models (Q2658765) (← links)
• A simple joint model for returns, volatility and volatility of volatility (Q2682964) (← links)
• Estimating dynamic copula dependence using intraday data (Q2687886) (← links)
• ESTIMATION OF STOCHASTIC VOLATILITY MODELS BY NONPARAMETRIC FILTERING (Q2826006) (← links)
• A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour (Q4667987) (← links)
• Method of moment estimation in the COGARCH(1,1) model (Q5427673) (← links)