On the Continuous Limit of GARCH-Reference-Cited by-同舟云学术

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On the Continuous Limit of GARCH

Published:2005 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Alexander Carol,Lazar Emese

Publisher

Elsevier BV

Reference18 articles.

1. Stock Return Characteristics, Skew Laws, and Differential Pricing of Individual Equity Options;G Bakshi;Review of Financial Studies,2003

2. The Skewness Premium: Option Pricing under Asymmetric Processes;D S Bates;Advances in Futures and Options Research,1997

3. Post-'87 Crash Fears in the S&P 500 Futures Option Market;D S Bates;Journal of Econometrics,2000

4. Generalized Autoregressive Conditional Heteroskedasticity;T Bollerslev;Journal of Econometrics,1986

Cited by 7 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Dynamic high-frequency dependence structure of Chinese agricultural commodity futures based on the semi-parametric copula;Frontiers in Applied Mathematics and Statistics;2023-03-15

2. A Unified Valuation Framework for Variance Swaps under Non-Affine Stochastic Volatility Models;SSRN Electronic Journal;2017

3. WEAK DIFFUSION LIMITS OF DYNAMIC CONDITIONAL CORRELATION MODELS;Econometric Theory;2016-06-13

4. Estimating dynamic copula dependence using intraday data;Studies in Nonlinear Dynamics & Econometrics;2014-12-02

5. COGARCH as a continuous-time limit of GARCH(1,1);Stochastic Processes and their Applications;2009-01

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