Issues of Aggregation Over Time of Conditional Heteroscedastic Volatility Models: What Kind of Diffusion Do We Recover?

DOI10.2202/1558-3708.1314zbMath1260.91245OpenAlexW2123900677MaRDI QIDQ5452760

Amine Trifi

Publication date: 4 April 2008

Published in: Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2202/1558-3708.1314

Mathematics Subject Classification ID

Degenerate parabolic equations (35K65) Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; economic indices and measures (91B82) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (6)

The continuous-time limit of score-driven volatility models ⋮ WEAK DIFFUSION LIMITS OF DYNAMIC CONDITIONAL CORRELATION MODELS ⋮ Path dependent volatility ⋮ Calibration of a path-dependent volatility model: empirical tests ⋮ Asymptotic normality of the MLE in the level-effect ARCH model ⋮ The continuous limit of weak GARCH

Cites Work

• Unnamed Item
• Asymptotic nonequivalence of GARCH models and diffusions
• A link between complete models with stochastic volatility and ARCH models
• Reconsidering the continuous time limit of the GARCH(1,1) process
• Temporal aggregation of volatility models
• A Class of Nonlinear Arch Models
• Complete Models with Stochastic Volatility

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