Weak convergence and distributional assumptions for a general class of nonliner arch models

DOI10.1080/07474939708800382zbMATH Open0896.62111OpenAlexW1988904876MaRDI QIDQ4355166FDOQ4355166

Fabio Fornari, Antonio Mele

Publication date: 6 October 1998

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474939708800382

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zbMATH Keywords

stochastic volatilitystationary distributionARCH modelsBox-Cox power transformgeneralized Student's t distribution

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

Cites Work

• The pricing of options and corporate liabilities
• Generalized autoregressive conditional heteroscedasticity
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• ARCH modeling in finance. A review of the theory and empirical evidence
• Conditional Heteroskedasticity in Asset Returns: A New Approach
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• Multivariate Stochastic Variance Models
• ARCH models as diffusion approximations
• A Class of Nonlinear Arch Models
• Several possible measures of risk
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• Martingales and arbitrage in multiperiod securities markets
• Modelling the persistence of conditional variances
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• Filtering and forecasting with misspecified ARCH models I. Getting the right variance with the wrong model
• Local scale models. State space alternative to integraded GARCH processes
• MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY
• Option Pricing Under Incompleteness and Stochastic Volatility
• Asymptotic Filtering Theory for Univariate Arch Models
• On the dynamical equations of conditional probability density functions, with applications to optimal stochastic control theory

Cited In (11)

• Approximating volatility diffusions with CEV-ARCH models
• ON A FAMILY OF CONTRASTS FOR PARAMETRIC INFERENCE IN DEGENERATE ARCH MODELS
• An ARCH in the nonlinear mean (ARCH-NM) model
• Making a start with the stit logic analysis of intentional action
• Approximations for the distribution of perpetuities with small discount rates
• From tick data to semimartingales
• Non-Gaussian GARCH option pricing models and their diffusion limits
• An algorithm for nonparametric GARCH modelling.
• Reconsidering the continuous time limit of the GARCH(1,1) process
• Title not available (Why is that?)
• WEAK DIFFUSION LIMITS OF DYNAMIC CONDITIONAL CORRELATION MODELS

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