Fractional integrated GARCH diffusion limit models

DOI10.1016/J.JKSS.2008.10.003zbMath1293.91197OpenAlexW2018498608MaRDI QIDQ2510697

Pairote Sattayatham, Tran Hung Thao, Tidarut Plienpanich

Publication date: 1 August 2014

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jkss.2008.10.003

zbMATH Keywords

fractional Brownian motiongeometric Brownian motionGARCH modelapproximate approach

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Fractional processes, including fractional Brownian motion (60G22) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (2)

On the calibration of fractional two-factor stochastic volatility model with non-Lipschitz diffusions ⋮ Fractional stochastic differential equations with applications to finance

Cites Work

• Unnamed Item
• An approximate approach to fractional analysis for finance
• ARCH models as diffusion approximations

This page was built for publication: Fractional integrated GARCH diffusion limit models