GARCH and irregularly spaced data (Q1929030)

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Language	Label	Description	Also known as
English	GARCH and irregularly spaced data	scientific article

Statements

scholarly article

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GARCH and irregularly spaced data (English)

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Bas J. M. Werker

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Economics Letters

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publication date

7 January 2013

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full work available at URL

https://pure.uvt.nl/portal/en/publications/garch-and-irregularly-spaced-data(cde7c8bd-37ac-4692-836c-c73b60a900a0).html

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zbMATH Keywords

volatility

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continuous time model

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exact discretization

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MaRDI profile type

MaRDI publication profile

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Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics

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Generalized autoregressive conditional heteroscedasticity

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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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The Econometrics of Ultra-high-frequency Data

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Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data

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GARCH for Irregularly Spaced Financial Data: The ACD-GARCH Model

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A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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Temporal aggregation of volatility models

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ARCH models as diffusion approximations

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Identifiers

zbMATH Open document ID

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10.1016/j.econlet.2005.07.027

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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:1929030

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