A link between complete models with stochastic volatility and ARCH models

DOI10.1007/s00780-003-0103-6zbMath1098.91052OpenAlexW2084698072MaRDI QIDQ1887266

Thierry Jeantheau

Publication date: 24 November 2004

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-003-0103-6

zbMATH Keywords

diffusion approximationstochastic volatilityMarkov chainARCH modelsasymptotic theory

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70) Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60)

Related Items (5)

Asymptotic normality of the quasi-maximum likelihood estimator for multidimensional causal processes ⋮ The continuous-time limit of score-driven volatility models ⋮ WEAK DIFFUSION LIMITS OF DYNAMIC CONDITIONAL CORRELATION MODELS ⋮ Finite-sample theory and bias correction of maximum likelihood estimators in the EGARCH model ⋮ Issues of Aggregation Over Time of Conditional Heteroscedastic Volatility Models: What Kind of Diffusion Do We Recover?

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