Reconsidering the continuous time limit of the GARCH(1,1) process

DOI10.1016/S0304-4076(99)00053-6zbMath0974.60063WikidataQ127249769 ScholiaQ127249769MaRDI QIDQ1973432

Valentina Corradi

Publication date: 8 May 2001

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

diffusion approximationGARCH processdegenerate diffusions

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Diffusion processes (60J60)

Related Items (21)

Equilibrium-based volatility models of the market portfolio rate of return (peacock tails or stotting gazelles) ⋮ Unit Root Tests under Time-Varying Variances ⋮ Non-Gaussian GARCH option pricing models and their diffusion limits ⋮ Non-parametric news impact curve: a variational approach ⋮ An empirical comparison of GARCH option pricing models ⋮ The continuous-time limit of score-driven volatility models ⋮ WEAK DIFFUSION LIMITS OF DYNAMIC CONDITIONAL CORRELATION MODELS ⋮ A simple joint model for returns, volatility and volatility of volatility ⋮ The microstructural foundations of leverage effect and rough volatility ⋮ Volatility forecasts and at-the-money implied volatility: a multi-component ARCH approach and its relation to market models ⋮ From tick data to semimartingales ⋮ Approximating volatility diffusions with CEV-ARCH models ⋮ Quadratic hedging schemes for non-Gaussian GARCH models ⋮ Term structure models and the zero bound: an empirical investigation of Japanese yields ⋮ Issues of Aggregation Over Time of Conditional Heteroscedastic Volatility Models: What Kind of Diffusion Do We Recover? ⋮ GARCH modelling in continuous time for irregularly spaced time series data ⋮ Data cloning estimation of GARCH and COGARCH models ⋮ APPROXIMATING GARCH‐JUMP MODELS, JUMP‐DIFFUSION PROCESSES, AND OPTION PRICING ⋮ Limit theory for moderate deviation from integrated GARCH processes ⋮ The continuous limit of weak GARCH ⋮ The surprise element: Jumps in interest rates.

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Closing the GARCH gap: Continuous time GARCH modeling
• Augmented GARCH\((p,q)\) process and its diffusion limit
• ARCH models as diffusion approximations
• Temporal Aggregation of Garch Processes
• Option Pricing in ARCH-type Models
• Complete Models with Stochastic Volatility
• Weak convergence and distributional assumptions for a general class of nonliner arch models

This page was built for publication: Reconsidering the continuous time limit of the GARCH(1,1) process