Approximating volatility diffusions with CEV-ARCH models

DOI10.1016/j.jedc.2005.03.008zbMath1200.91302OpenAlexW3121379662MaRDI QIDQ956536

Antonio Mele, Fabio Fornari

Publication date: 25 November 2008

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2005.03.008

zbMATH Keywords

stochastic volatilityindirect inferenceARCH filtering

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) 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) Monte Carlo methods (65C05)

Related Items (6)

Equilibrium-based volatility models of the market portfolio rate of return (peacock tails or stotting gazelles) ⋮ The continuous-time limit of score-driven volatility models ⋮ WEAK DIFFUSION LIMITS OF DYNAMIC CONDITIONAL CORRELATION MODELS ⋮ SWITCHING TO NONAFFINE STOCHASTIC VOLATILITY: A CLOSED-FORM EXPANSION FOR THE INVERSE GAMMA MODEL ⋮ Asymptotic normality of the MLE in the level-effect ARCH model ⋮ The continuous limit of weak GARCH

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