scientific article; zbMATH DE number 6039561
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Publication:2888086
zbMATH Open1238.91148MaRDI QIDQ2888086FDOQ2888086
Authors: Giuseppina Albano, Francesco Giordano, Cira Pema 
Publication date: 30 May 2012
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Recommendations
- Continuous time approximations to GARCH(1,1)-family models and their limiting properties
- Reconsidering the continuous time limit of the GARCH(1,1) process
- Continuous-time GARCH processes
- GARCH processes: structure and estimation
- A class of continuous-time garch-type processes
- M-ESTIMATION IN GARCH MODELS
- The continuous limit of weak GARCH
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70)
Cited In (15)
- Augmented GARCH\((p,q)\) process and its diffusion limit
- Continuous Time Approximations to GARCH and Stochastic Volatility Models
- Maximum likelihood estimation of continuous time stochastic volatility models with partially observed GARCH
- Irreducibility and continuity assumptions for positive operators with application to threshold GARCH time series models
- Method of moment estimation in the COGARCH(1,1) model
- An Exponential Continuous-Time GARCH Process
- Simultaneous parameter estimation and state smoothing of complex GARCH process in the presence of additive noise
- RANK-BASED ESTIMATION FOR GARCH PROCESSES
- Convergence in distribution for the sup-norm of a kernel density estimator for GARCH inno\-va\-tions
- Guaranteed detection of an imbalance instant of the GARCH-process
- Limit theory for moderate deviation from integrated GARCH processes
- On volatility variation in \(ARCH(1)\) and \(GARCH(1;1)\) continuous limits
- Reconsidering the continuous time limit of the GARCH(1,1) process
- Stable limits of martingale transforms with application to the estimation of GARCH parame\-ters
- Continuous time approximations to GARCH(1,1)-family models and their limiting properties
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