Approximating volatility diffusions with CEV-ARCH models
DOI10.1016/J.JEDC.2005.03.008zbMATH Open1200.91302OpenAlexW3121379662MaRDI QIDQ956536FDOQ956536
Authors: Fabio Fornari, Antonio Mele 
Publication date: 25 November 2008
Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2005.03.008
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- scientific article; zbMATH DE number 1839589
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)
Cites Work
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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
- On improved volatility modelling by fitting skewness in ARCH models
- ARCH models as diffusion approximations
- Filtering and forecasting with misspecified ARCH models I. Getting the right variance with the wrong model
- 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
- WEAK DIFFUSION LIMITS OF DYNAMIC CONDITIONAL CORRELATION MODELS
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