scientific article; zbMATH DE number 6039561
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Publication:2888086
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- 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
- Simultaneous parameter estimation and state smoothing of complex GARCH process in the presence of additive noise
- An Exponential Continuous-Time GARCH Process
- 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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