Augmented GARCH(p,q) process and its diffusion limit
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Cites work
- scientific article; zbMATH DE number 3505981 (Why is no real title available?)
- scientific article; zbMATH DE number 5243765 (Why is no real title available?)
- scientific article; zbMATH DE number 3274494 (Why is no real title available?)
- A Class of Nonlinear Arch Models
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- ARCH models as diffusion approximations
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- Generalized autoregressive conditional heteroscedasticity
- Maximum Likelihood Estimation of Misspecified Models
- Pricing foreign currency options with stochastic volatility
- Stationarity of GARCH processes and of some nonnegative time series
- Stock price distributions with stochastic volatility: an analytic approach
- THE GARCH OPTION PRICING MODEL
- The stochastic equation Yn+1=AnYn + Bn with stationary coefficients
- Threshold heteroskedastic models
Cited in
(68)- Delay times of sequential procedures for multiple time series regression models
- Renorming volatilities in a family of GARCH models
- ERGODICITY, MIXING, AND EXISTENCE OF MOMENTS OF A CLASS OF MARKOV MODELS WITH APPLICATIONS TO GARCH AND ACD MODELS
- A simple joint model for returns, volatility and volatility of volatility
- Adaptive density estimation for general ARCH models
- Approximating volatility diffusions with CEV-ARCH models
- A semiparametric GARCH model for foreign exchange volatility
- The microstructural foundations of leverage effect and rough volatility
- American option pricing under GARCH by a Markov chain approximation
- Simulation-based exact jump tests in models with conditional heteroskedasticity
- Asymptotic distribution of the delay time in Page's sequential procedure
- Asymptotic nonequivalence of GARCH models and diffusions
- A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour
- On stationarity and \(\beta\)-mixing property of certain nonlinear \(\text{GARCH}(p,q)\) models
- Asymptotics for semi-strong augmented GARCH(1,1) model
- ESTIMATION IN CONTINUOUS-TIME STOCHASTIC VOLATILITY MODELS USING NONLINEAR FILTERS
- MIDAS Regressions: Further Results and New Directions
- Option valuation with co-integrated asset prices
- Mean-variance portfolios using Bayesian vector-autoregressive forcasts
- Continuous-time GARCH processes
- On accurate and provably efficient GARCH option pricing algorithms
- The functional central limit theorem for a family of GARCH observations with applications
- Augmented GARCH sequences: Dependence structure and asymptotics
- Hedging options under transaction costs and stochastic volatility
- Risk horizon and rebalancing horizon in portfolio risk measurement
- Functional central limit theorems for augmented GARCH(\(p\),\(q\)) and FIGARCH processes
- Asymptotic asset pricing and bubbles
- Split invariance principles for stationary processes
- An empirical comparison of GARCH option pricing models
- Econometric analysis of volatility component models
- Variance swaps valuation under non-affine GARCH models and their diffusion limits
- Page's sequential procedure for change-point detection in time series regression
- Smoothly truncated stable distributions, GARCH-models, and option pricing
- Limit theory for moderate deviation from integrated GARCH processes
- Strong approximation for the sums of squares of augmented GARCH sequences
- Pricing vulnerable European options with stochastic correlation
- Two-step estimation for time varying ARCH models
- Option pricing under regime switching
- Reconsidering the continuous time limit of the GARCH(1,1) process
- MIXING PROPERTIES OF A GENERAL CLASS OF GARCH(1,1) MODELS WITHOUT MOMENT ASSUMPTIONS ON THE OBSERVED PROCESS
- Non-Gaussian GARCH option pricing models and their diffusion limits
- Quadratic hedging schemes for non-Gaussian GARCH models
- On stationarity and ergodicity of the bilinear model with applications to GARCH models
- On measuring volatility of diffusion processes with high frequency data
- A class of nonlinear stochastic volatility models and its implications for pricing currency options
- Strong approximation for a class of stationary processes
- Approximating volatilities by asymmetric power GARCH functions
- Approximating stochastic volatility by recombinant trees
- Strict stationarity and mixing properties of asymmetric power GARCH models allowing a signed volatility
- Parameter change tests for ARMA-GARCH models
- Stationary Gaussian Markov processes as limits of stationary autoregressive time series
- A conditional extreme value volatility estimator based on high-frequency returns
- Simulation and Estimation of the Meixner Distribution
- A conditional-SGT-VaR approach with alternative GARCH models
- Pointwise adaptive estimation of the marginal density of a weakly dependent process
- Change‐point monitoring in linear models
- APPROXIMATING GARCH‐JUMP MODELS, JUMP‐DIFFUSION PROCESSES, AND OPTION PRICING
- Asymptotic results for the empirical process of stationary sequences
- CONVERGENCE SPEED OF GARCH OPTION PRICE TO DIFFUSION OPTION PRICE
- GARCH options via local risk minimization
- Robust inference in AR-G/GARCH models under model uncertainty
- Weak diffusion limits of dynamic conditional correlation models
- The continuous-time limit of score-driven volatility models
- Stationarity and invertibility of a dynamic correlation matrix.
- A NECESSARY AND SUFFICIENT CONDITION FOR THE STRICT STATIONARITY OF A FAMILY OF GARCH PROCESSES
- Spline estimation of a semiparametric GARCH model
- Edgeworth expansions for volatility models
- Optimal rate of convergence for empirical quantiles and distribution functions for time series
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