Pages that link to "Item:Q1973432"
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The following pages link to Reconsidering the continuous time limit of the GARCH(1,1) process (Q1973432):
Displaying 21 items.
- Non-Gaussian GARCH option pricing models and their diffusion limits (Q320097) (← links)
- Term structure models and the zero bound: an empirical investigation of Japanese yields (Q528018) (← links)
- An empirical comparison of GARCH option pricing models (Q867119) (← links)
- Approximating volatility diffusions with CEV-ARCH models (Q956536) (← links)
- GARCH modelling in continuous time for irregularly spaced time series data (Q1002568) (← links)
- Equilibrium-based volatility models of the market portfolio rate of return (peacock tails or stotting gazelles) (Q1615808) (← links)
- The microstructural foundations of leverage effect and rough volatility (Q1709601) (← links)
- The surprise element: Jumps in interest rates. (Q1858907) (← links)
- Quadratic hedging schemes for non-Gaussian GARCH models (Q1994523) (← links)
- Non-parametric news impact curve: a variational approach (Q2156537) (← links)
- From tick data to semimartingales (Q2240473) (← links)
- Limit theory for moderate deviation from integrated GARCH processes (Q2322613) (← 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)
- Volatility forecasts and at-the-money implied volatility: a multi-component ARCH approach and its relation to market models (Q2994857) (← links)
- Unit Root Tests under Time-Varying Variances (Q3157845) (← links)
- Data cloning estimation of GARCH and COGARCH models (Q5220829) (← links)
- WEAK DIFFUSION LIMITS OF DYNAMIC CONDITIONAL CORRELATION MODELS (Q5349012) (← links)
- Issues of Aggregation Over Time of Conditional Heteroscedastic Volatility Models: What Kind of Diffusion Do We Recover? (Q5452760) (← links)
- APPROXIMATING GARCH‐JUMP MODELS, JUMP‐DIFFUSION PROCESSES, AND OPTION PRICING (Q5472775) (← links)
- The continuous limit of weak GARCH (Q5861045) (← links)
