Approximating volatility diffusions with CEV-ARCH models
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- scientific article; zbMATH DE number 1839589
Cites work
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- A YIELD‐FACTOR MODEL OF INTEREST RATES
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- ARCH models as diffusion approximations
- An equilibrium characterization of the term structure
- Asymptotic Filtering Theory for Univariate Arch Models
- Asymptotic filtering theory for multivariate ARCH models
- Augmented GARCH\((p,q)\) process and its diffusion limit
- Closing the GARCH gap: Continuous time GARCH modeling
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- Econometric specification of stochastic discount factor models
- Estimating continuous-time stochastic volatility models of the short-term interest rate
- Filtering and forecasting with misspecified ARCH models I. Getting the right variance with the wrong model
- Generalized autoregressive conditional heteroscedasticity
- Large Sample Properties of Generalized Method of Moments Estimators
- Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
- Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
- Reconsidering the continuous time limit of the GARCH(1,1) process
- Reprojecting Partially Observed Systems with Application to Interest Rate Diffusions
- Simulated Moments Estimation of Markov Models of Asset Prices
- Stochastic volatility in financial markets. Crossing the bridge to continuous time
- Temporal Aggregation of Garch Processes
- The pricing of options and corporate liabilities
- Weak convergence and distributional assumptions for a general class of nonliner arch models
Cited in
(11)- Switching to nonaffine stochastic volatility: a closed-form expansion for the inverse gamma model
- Equilibrium-based volatility models of the market portfolio rate of return (peacock tails or stotting gazelles)
- A link between complete models with stochastic volatility and ARCH models
- Weak diffusion limits of dynamic conditional correlation models
- On improved volatility modelling by fitting skewness in ARCH models
- Filtering and forecasting with misspecified ARCH models I. Getting the right variance with the wrong model
- ARCH models as diffusion approximations
- The continuous-time limit of score-driven volatility models
- The continuous limit of weak GARCH
- Estimation of volatility using ARCH filters
- Asymptotic normality of the MLE in the level-effect ARCH model
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