Weak convergence and distributional assumptions for a general class of nonliner arch models

DOI10.1080/07474939708800382zbMath0896.62111OpenAlexW1988904876MaRDI QIDQ4355166

Fabio Fornari, Antonio Mele

Publication date: 6 October 1998

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474939708800382

zbMATH Keywords

stochastic volatilityARCH modelsstationary distributionBox-Cox power transformgeneralized Student's t distribution

Mathematics Subject Classification ID

Related Items (8)

Non-Gaussian GARCH option pricing models and their diffusion limits ⋮ WEAK DIFFUSION LIMITS OF DYNAMIC CONDITIONAL CORRELATION MODELS ⋮ Approximations for the distribution of perpetuities with small discount rates ⋮ Making a start with the stit logic analysis of intentional action ⋮ Reconsidering the continuous time limit of the GARCH(1,1) process ⋮ From tick data to semimartingales ⋮ Approximating volatility diffusions with CEV-ARCH models ⋮ An algorithm for nonparametric GARCH modelling.

Cites Work

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