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

DOI10.1080/07474939708800382MaRDI QIDQ4355166zbMATH OpenOpenAlexFDO

Authors 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

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)

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Cites work

• scientific article; zbMATH DE number 3664138 (Why is no real title available?)
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• A Class of Nonlinear Arch Models
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
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• ARCH models as diffusion approximations
• Asymptotic Filtering Theory for Univariate Arch Models
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Filtering and forecasting with misspecified ARCH models I. Getting the right variance with the wrong model
• Generalized autoregressive conditional heteroscedasticity
• Local scale models. State space alternative to integraded GARCH processes
• MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY
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• On the dynamical equations of conditional probability density functions, with applications to optimal stochastic control theory
• Option Pricing Under Incompleteness and Stochastic Volatility
• Several possible measures of risk
• The pricing of options and corporate liabilities

Cited in

(12)

• 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
• Weak diffusion limits of dynamic conditional correlation models
• Non-Gaussian GARCH option pricing models and their diffusion limits
• An algorithm for nonparametric GARCH modelling.
• Nonlinearity of ARCH and stochastic volatility models and Bartlett's formula
• Reconsidering the continuous time limit of the GARCH(1,1) process
• scientific article; zbMATH DE number 1839589 (Why is no real title available?)

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