Pages that link to "Item:Q1362059"
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The following pages link to Augmented GARCH\((p,q)\) process and its diffusion limit (Q1362059):
Displaying 18 items.
- RENORMING VOLATILITIES IN A FAMILY OF GARCH MODELS (Q4554606) (← links)
- Stationarity and invertibility of a dynamic correlation matrix (Q4568273) (← links)
- PRICING VULNERABLE EUROPEAN OPTIONS WITH STOCHASTIC CORRELATION (Q4628409) (← links)
- Option pricing under regime switching (Q4646774) (← links)
- A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour (Q4667987) (← links)
- RISK HORIZON AND REBALANCING HORIZON IN PORTFOLIO RISK MEASUREMENT (Q4906529) (← links)
- Asymptotics for semi-strong augmented GARCH(1,1) model (Q5046800) (← links)
- Two‐Step Estimation for Time Varying Arch Models (Q5121011) (← links)
- Variance swaps valuation under non-affine GARCH models and their diffusion limits (Q5234288) (← links)
- ECONOMETRIC ANALYSIS OF VOLATILITY COMPONENT MODELS (Q5247357) (← links)
- Page's sequential procedure for change-point detection in time series regression (Q5263973) (← links)
- WEAK DIFFUSION LIMITS OF DYNAMIC CONDITIONAL CORRELATION MODELS (Q5349012) (← links)
- APPROXIMATING GARCH‐JUMP MODELS, JUMP‐DIFFUSION PROCESSES, AND OPTION PRICING (Q5472775) (← links)
- On accurate and provably efficient GARCH option pricing algorithms (Q5697325) (← links)
- American option pricing under GARCH by a Markov chain approximation (Q5941429) (← links)
- On measuring volatility of diffusion processes with high frequency data (Q5958532) (← links)
- Edgeworth expansions for volatility models (Q6136793) (← links)
- Robust inference in AR-G/GARCH models under model uncertainty (Q6546439) (← links)
