Continuous Time Approximations to GARCH and Stochastic Volatility Models
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Publication:3646967
DOI10.1007/978-3-540-71297-8_21zbMath1179.62151OpenAlexW131803255MaRDI QIDQ3646967
Publication date: 27 November 2009
Published in: Handbook of Financial Time Series (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-540-71297-8_21
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)
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Non-Gaussian GARCH option pricing models and their diffusion limits ⋮ The microstructural foundations of leverage effect and rough volatility ⋮ Functional Relationships Between Price and Volatility Jumps and Their Consequences for Discretely Observed Data ⋮ Asymptotics for LS, GLS, and feasible GLS statistics in an AR(1) model with conditional heteroskedasticity ⋮ Testing structural changes in panel data with small fixed panel size and bootstrap ⋮ Predictive quantile regressions under persistence and conditional heteroskedasticity ⋮ The continuous limit of weak GARCH
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