Augmented GARCH(p,q) process and its diffusion limit

DOI10.1016/S0304-4076(97)00009-2zbMATH Open0898.62141MaRDI QIDQ1362059FDOQ1362059

Authors: Jin-Chuan Duan 

Publication date: 3 November 1998

Published in: Journal of Econometrics (Search for Journal in Brave)

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zbMATH Keywords

stationaritylocal timeLyapunov exponentstochastic volatilitydiffusion processesLagrange multiplier testaugmented GARCH process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Cites Work

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Cited In (68)

• Edgeworth expansions for volatility models
• Stationarity and invertibility of a dynamic correlation matrix.
• Weak diffusion limits of dynamic conditional correlation models
• The continuous-time limit of score-driven volatility models
• Spline estimation of a semiparametric GARCH model
• Optimal rate of convergence for empirical quantiles and distribution functions for time series
• A NECESSARY AND SUFFICIENT CONDITION FOR THE STRICT STATIONARITY OF A FAMILY OF GARCH PROCESSES
• Robust inference in AR-G/GARCH models under model uncertainty
• Approximating volatility diffusions with CEV-ARCH models
• Asymptotic distribution of the delay time in Page's sequential procedure
• Variance swaps valuation under non-affine GARCH models and their diffusion limits
• ERGODICITY, MIXING, AND EXISTENCE OF MOMENTS OF A CLASS OF MARKOV MODELS WITH APPLICATIONS TO GARCH AND ACD MODELS
• Functional central limit theorems for augmented GARCH(\(p\),\(q\)) and FIGARCH processes
• A conditional extreme value volatility estimator based on high-frequency returns
• 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
• Option pricing under regime switching
• Parameter change tests for ARMA-GARCH models
• Simulation-based exact jump tests in models with conditional heteroskedasticity
• A semiparametric GARCH model for foreign exchange volatility
• The functional central limit theorem for a family of GARCH observations with applications
• Risk horizon and rebalancing horizon in portfolio risk measurement
• On stationarity and ergodicity of the bilinear model with applications to GARCH models
• A class of nonlinear stochastic volatility models and its implications for pricing currency options
• Asymptotic nonequivalence of GARCH models and diffusions
• Strong approximation for a class of stationary processes
• Asymptotic results for the empirical process of stationary sequences
• GARCH options via local risk minimization
• Pricing vulnerable European options with stochastic correlation
• An empirical comparison of GARCH option pricing models
• Mean-variance portfolios using Bayesian vector-autoregressive forcasts
• Continuous-time GARCH processes
• On measuring volatility of diffusion processes with high frequency data
• Two-step estimation for time varying ARCH models
• Non-Gaussian GARCH option pricing models and their diffusion limits
• The microstructural foundations of leverage effect and rough volatility
• APPROXIMATING GARCH‐JUMP MODELS, JUMP‐DIFFUSION PROCESSES, AND OPTION PRICING
• Strong approximation for the sums of squares of augmented GARCH sequences
• Econometric analysis of volatility component models
• Smoothly truncated stable distributions, GARCH-models, and option pricing
• MIXING PROPERTIES OF A GENERAL CLASS OF GARCH(1,1) MODELS WITHOUT MOMENT ASSUMPTIONS ON THE OBSERVED PROCESS
• Simulation and Estimation of the Meixner Distribution
• CONVERGENCE SPEED OF GARCH OPTION PRICE TO DIFFUSION OPTION PRICE
• Option valuation with co-integrated asset prices
• Augmented GARCH sequences: Dependence structure and asymptotics
• Renorming volatilities in a family of GARCH models
• Limit theory for moderate deviation from integrated GARCH processes
• Approximating stochastic volatility by recombinant trees
• Adaptive density estimation for general ARCH models
• American option pricing under GARCH by a Markov chain approximation
• Change‐point monitoring in linear models
• A conditional-SGT-VaR approach with alternative GARCH models
• Delay times of sequential procedures for multiple time series regression models
• A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour
• Approximating volatilities by asymmetric power GARCH functions
• Reconsidering the continuous time limit of the GARCH(1,1) process
• Quadratic hedging schemes for non-Gaussian GARCH models
• Pointwise adaptive estimation of the marginal density of a weakly dependent process
• Split invariance principles for stationary processes
• A simple joint model for returns, volatility and volatility of volatility
• MIDAS Regressions: Further Results and New Directions
• Strict stationarity and mixing properties of asymmetric power GARCH models allowing a signed volatility
• Stationary Gaussian Markov processes as limits of stationary autoregressive time series
• Asymptotic asset pricing and bubbles
• On accurate and provably efficient GARCH option pricing algorithms
• Hedging options under transaction costs and stochastic volatility
• Page's sequential procedure for change-point detection in time series regression

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