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Continuous Time Approximations to GARCH and Stochastic Volatility Models
16 references·0 citing·35 second hop
Continuous Time Approximations to GARCH and Stochastic Volatility Models (2009)Continuous Time Approximations to GARCH a…Handbook of Financial Time Series (2009)Handbook of Financial Time Se…Handbook of Financial Time Series (2009)Handbook of Financial Time Se…Stochastic Integration and Differential Equations (2005)Stochastic Integration and Di…Limit Theorems for Stochastic Processes (2003)Limit Theorems for Stochastic…Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Non-Gaussian Ornstein–Uhlenbe…Augmented GARCH (p,q) process and its diffusion limit (1997)Augmented GARCH (p,q) process…5 Stochastic volatility (1996)5 Stochastic volatilityTemporal Aggregation of Garch Processes (1993)Temporal Aggregation of Garch…ARCH models as diffusion approximations (1990)ARCH models as diffusion appr…The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…Option values under stochastic volatility: Theory and empirical estimates (1987)Option values under stochasti…Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application (1987)Option Pricing when the Varia…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Financial returns modelled by the product of two stochastic processes-A study of the daily sugar prices 1961-75 (1982)Financial returns modelled by…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Chaos and Nonlinear Dynamics: Application to Financial Markets (1991)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Testing Continuous-Time Models of the Spot Interest Rate (1996)Alternative models for stock price dynamics (2003)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Optimum consumption and portfolio rules in a continuous-time model (1971)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Jump-Diffusion Model for Option Pricing (2002)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)A forecast comparison of volatility models: does anything beat a GARCH(1,1)? (2005)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Measuring and Testing the Impact of News on Volatility (1993)Theory of rational option pricing (2005)Introductory Econometrics for Finance (2008)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Forecasting Volatility in Financial Markets: A Review (2003)Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005)Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise (2008)Econometric Analysis of Cross Section and Panel Data (2001)Modeling Term Structures of Defaultable Bonds (1999)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The distribution of realized stock return volatility (2001)Stochastic Convenience Yield and the Pricing of Oil Contingent Claims (1990)Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model (1992)Option Prices, Implied Price Processes, and Stochastic Volatility (2000)An Overview of Value at Risk (1997)A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)Variance Risk Premiums (2008)The Fine Structure of Asset Returns: An Empirical Investigation (2002)Microstructure noise in the continuous case: The pre-averaging approach (2008)Tails, Fears, and Risk Premia (2011)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 2005Stochastic Integration and Differential Equations4,594 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities3,864 cited
  • 2003Limit Theorems for Stochastic Processes2,529 cited
  • 2001Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics1,801 cited
  • 19965 Stochastic volatility1,189 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities1,179 cited
  • 1987Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application978 cited
  • 1990ARCH models as diffusion approximations943 cited
  • 1987Option values under stochastic volatility: Theory and empirical estimates904 cited
  • 1993Temporal Aggregation of Garch Processes678 cited
  • 2009Handbook of Financial Time Series406 cited
  • 2009Handbook of Financial Time Series383 cited
  • 1997Augmented GARCH (p,q) process and its diffusion limit370 cited

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1982
Financial returns modelled by the product of two stochastic processes-A study of the daily sugar prices 1961-75
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