Issues of Aggregation Over Time of Conditional Heteroscedastic Volatility Models: What Kind of Diffusion Do We Recover?

DOI10.2202/1558-3708.1314MaRDI QIDQ5452760zbMATH OpenOpenAlexFDO

Authors Amine Trifi

Publication date 4 April 2008

Published in Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2202/1558-3708.1314

Mathematics Subject Classification ID

Degenerate parabolic equations (35K65) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Statistical methods; economic indices and measures (91B82) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• A Class of Nonlinear Arch Models
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A link between complete models with stochastic volatility and ARCH models
• Asymptotic nonequivalence of GARCH models and diffusions
• Complete Models with Stochastic Volatility
• Reconsidering the continuous time limit of the GARCH(1,1) process
• Temporal aggregation of volatility models

Cited in

(13)

• A link between complete models with stochastic volatility and ARCH models
• Asymptotic normality of the MLE in the level-effect ARCH model
• The continuous-time limit of score-driven volatility models
• On volatility variation in \(ARCH(1)\) and \(GARCH(1;1)\) continuous limits
• CONVERGENCE SPEED OF GARCH OPTION PRICE TO DIFFUSION OPTION PRICE
• scientific article; zbMATH DE number 2042815 (Why is no real title available?)
• scientific article; zbMATH DE number 1839589 (Why is no real title available?)
• THE DIFFUSION LIMIT OF A TVP-GQARCH-M(1,1) MODEL
• Weak diffusion limits of dynamic conditional correlation models
• The continuous limit of weak GARCH
• The continuous-time limit of quasi score-driven volatility models
• Path dependent volatility
• Calibration of a path-dependent volatility model: empirical tests

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