SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
WEAK DIFFUSION LIMITS OF DYNAMIC CONDITIONAL CORRELATION MODELS
16 references·2 citing·29 second hop
WEAK DIFFUSION LIMITS OF DYNAMIC CONDITIONAL CORRELATION MODELS (2016)WEAK DIFFUSION LIMITS OF DYNAMIC CONDITIO…Dynamic Conditional Correlation: On Properties and Estimation (2013)Dynamic Conditional Correlati…The dynamics of stochastic volatility: evidence from underlying and options markets (2003)The dynamics of stochastic vo…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Stochastic Calculus and Financial Applications (2001)Stochastic Calculus and Finan…The Term Structure of Implied Volatility (2000)The Term Structure of Implied…Introduction and Summary of Results (Excerpt) (2000)Introduction and Summary of R…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…Simulated Moments Estimation of Markov Models of Asset Prices (1993)Simulated Moments Estimation …A long memory property of stock market returns and a new model (1993)A long memory property of sto…Simulated Moments Estimation of Markov Models of Asset Prices (1990)Simulated Moments Estimation …Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Modelling the Coherence in Sh…ARCH models as diffusion approximations (1990)ARCH models as diffusion appr…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…MULTI-DIMENSIONAL DIFFUSION PROCESSES (1980)MULTI-DIMENSIONAL DIFFUSION P…Identification and estimation of non-Gaussian structural vector autoregressions (2016)Identification and estimation…Counting processes for retail default modeling (2015)Counting processes for retail…ARCH modeling in finance (1992)Multivariate Simultaneous Generalized ARCH (1995)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Book Review: 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)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)A Simple Approximate Long-Memory Model of Realized Volatility (2008)A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)A Capital Asset Pricing Model with Time-Varying Covariances (1988)Intertemporal Substitution in Consumption (1981)A Method of Simulated Moments for Estimation of Discrete Response Models Without Numerical Integration (1989)Simulation and the Asymptotics of Optimization Estimators (1989)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Forecasting Volatility in Financial Markets: A Review (2003)The Pricing of Options and Corporate Liabilities (1973)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Specification Analysis of Affine Term Structure Models (2000)Consumption Over the Life Cycle (2002)The jump-risk premia implicit in options: evidence from an integrated time-series study (2002)Numerical Methods for Stochastic Control Problems in Continuous Time (1990)Stochastic Differential Equations—An Introduction With Applications (2006)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)
this work references cited by second hop

References

  • 1986Generalized autoregressive conditional heteroskedasticity23,378 cited
  • 2002Dynamic Conditional Correlation7,229 cited
  • 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model3,519 cited
  • 1993A long memory property of stock market returns and a new model3,282 cited
  • 1980MULTI-DIMENSIONAL DIFFUSION PROCESSES1,311 cited
  • 19965 Stochastic volatility1,189 cited
  • 1990ARCH models as diffusion approximations943 cited
  • 1993Simulated Moments Estimation of Markov Models of Asset Prices691 cited
  • 1993Temporal Aggregation of Garch Processes678 cited
  • 1990Simulated Moments Estimation of Markov Models of Asset Prices617 cited
  • 2000Introduction and Summary of Results (Excerpt)521 cited
  • 2000The Term Structure of Implied Volatility516 cited
  • 2003The dynamics of stochastic volatility: evidence from underlying and options markets504 cited
  • 2001Stochastic Calculus and Financial Applications503 cited
  • 2013Dynamic Conditional Correlation: On Properties and Estimation423 cited
  • 1997Augmented GARCH (p,q) process and its diffusion limit

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

370 cited

Cited by

  • 2016Identification and estimation of non-Gaussian structural vector autoregressions203 cited
  • 2015Counting processes for retail default modeling15 cited