Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

ARCH models as diffusion approximations

14 references·16 citing·32 second hop

FromToDepth

this work references cited by second hop

References

1986Generalized autoregressive conditional heteroskedasticity22,329 cited
1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
1973An Intertemporal Capital Asset Pricing Model6,557 cited
1979Option pricing: A simplified approach6,103 cited
1987Expected stock returns and volatility4,147 cited
1980Irreversibility, Uncertainty, and Cyclical Investment4,130 cited
1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices2,781 cited
1981Fractional Differencing2,720 cited
1976Stochastic Differential Equations: Theory and Applications.2,351 cited
1986Modelling the persistence of conditional variances2,068 cited
1985An Intertemporal General Equilibrium Model of Asset Prices2,052 cited
1980MULTI-DIMENSIONAL DIFFUSION PROCESSES1,243 cited
1990Stationarity and Persistence in the GARCH(1,1) Model1,093 cited

Cited by

1991Chaos and Nonlinear Dynamics: Application to Financial Markets1,046 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

1996Testing Continuous-Time Models of the Spot Interest Rate923 cited

2003Alternative models for stock price dynamics893 cited

1996The econometrics of financial markets886 cited

1994Chapter 49 Arch models880 cited

1991The Crash of ʼ87: Was It Expected? The Evidence from Options Markets874 cited

1993ARCH MODELS: PROPERTIES, ESTIMATION AND TESTING786 cited

1990Pricing foreign currency options with stochastic volatility749 cited

1996Statistical aspects of ARCH and stochastic volatility749 cited

1995All in the family Nesting symmetric and asymmetric GARCH models723 cited

1992Stock market volatility and the information content of stock index options667 cited

1997Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long‐Run in High Frequency Returns649 cited

1994MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY646 cited

1994Bayesian Analysis of Stochastic Volatility Models611 cited

1995Nonparametric Pricing of Interest Rate Derivative Securities546 cited

2006Maximum likelihood estimation of stochastic volatility models538 cited