Pages that link to "Item:Q1185106"

The following pages link to Filtering and forecasting with misspecified ARCH models I. Getting the right variance with the wrong model (Q1185106):

Displaying 29 items.

• No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: theory and testable distributional implications (Q277161) (← links)
• Integrated variance forecasting: model based vs. reduced form (Q737909) (← links)
• Idiosyncratic risk and the cross-section of stock returns: the role of mean-reverting idiosyncratic volatility (Q827252) (← links)
• A behavioral asset pricing model with a time-varying second moment (Q943159) (← links)
• Approximating volatility diffusions with CEV-ARCH models (Q956536) (← links)
• An analysis of the flexibility of asymmetric power GARCH models (Q1010472) (← links)
• Empirical likelihood-based evaluations of value at risk models (Q1044277) (← links)
• Fractionally integrated generalized autoregressive conditional heteroskedasticity (Q1126491) (← links)
• ARCH modeling in finance. A review of the theory and empirical evidence (Q1185104) (← links)
• Heterogeneous beliefs and routes to chaos in a simple asset pricing model (Q1274209) (← links)
• Local scale models. State space alternative to integraded GARCH processes (Q1318993) (← links)
• Testing stationarity for stock market data (Q1351737) (← links)
• Simulated maximum likelihood in nonlinear continuous-discrete state space models: importance sampling by approximate smoothing (Q1424631) (← links)
• The impact of stationarity assessment on studies of volatility and value-at-risk. (Q1600541) (← links)
• Financial econometrics: Past developments and future challenges (Q1841086) (← links)
• Asymptotic nonequivalence of GARCH models and diffusions (Q1848957) (← links)
• Estimating stochastic volatility diffusion using conditional moments of integrated volatility (Q1867730) (← 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)
• American options with stochastic dividends and volatility: a nonparametric investigation (Q1969814) (← links)
• Endogenous fluctuations in a simple asset pricing model with heterogeneous agents (Q1978590) (← links)
• Predicting the VIX and the volatility risk premium: the role of short-run funding spreads volatility factors (Q2224982) (← links)
• Stochastic multifactor modeling of spot electricity prices (Q2349615) (← links)
• Testing the predictive ability of corridor implied volatility under GARCH models (Q2419785) (← 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)
• The story of GARCH: a personal odyssey (Q2697967) (← links)
• FORECASTING HIGH-FREQUENCY FINANCIAL DATA VOLATILITY VIA NONPARAMETRIC ALGORITHMS: EVIDENCE FROM TAIWAN'S FINANCIAL MARKETS (Q3421882) (← links)