Fractional integrated GARCH diffusion limit models

DOI10.1016/J.JKSS.2008.10.003MaRDI QIDQ2510697zbMATH OpenOpenAlexFDO

Authors Tidarut Plienpanich, Pairote Sattayatham, Tran Hung Thao

Publication date 1 August 2014

Published in Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jkss.2008.10.003

zbMATH Keywords

fractional Brownian motionGARCH modelgeometric Brownian motionapproximate approach

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Fractional processes, including fractional Brownian motion (60G22) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Recommendations

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Cites work

• scientific article; zbMATH DE number 1944323 (Why is no real title available?)
• ARCH models as diffusion approximations
• An approximate approach to fractional analysis for finance

Cited in

(5)

• An approximate approach to fractional analysis for finance
• Fractional stochastic differential equations with applications to finance
• Limit theory for moderate deviation from integrated GARCH processes
• On the calibration of fractional two-factor stochastic volatility model with non-Lipschitz diffusions
• A note on fractional Schwartz models for mean reversion

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