Publication:4372026
From MaRDI portal
zbMath0884.90013MaRDI QIDQ4372026
Publication date: 21 January 1998
stochastic volatility; generalized method of moments; GARCH; return volatility; trading volume; mixture of distributions hypothesis
91B82: Statistical methods; economic indices and measures
Related Items
ARMA representation of integrated and realized variances, Bayesian modeling of financial returns: A relationship between volatility and trading volume, An equilibrium asset pricing model based on Lévy processes: Relations to stochastic volatility, and the survival hypothesis, A generalized bivariate mixture model for stock price volatility and trading volume, Aggregation and memory of models of changing volatility, Long-memory and heterogeneous components in high frequency Pacific-Basin exchange rate volatility, A class of nonlinear stochastic volatility models and its implications for pricing currency options, Fractionally integrated generalized autoregressive conditional heteroskedasticity, On some filtering problems arising in mathematical finance, Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study, Estimation of stochastic volatility models via Monte Carlo maximum likelihood, Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data, GARCH and irregularly spaced data, Joint extremal behavior of hidden and observable time series with applications to GARCH processes, Temporal aggregation of volatility models, A conditional-SGT-VaR approach with alternative GARCH models, Tail behavior of a threshold autoregressive stochastic volatility model, Estimation of the stochastic conditional duration model via alternative methods
