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Approximating volatility diffusions with CEV-ARCH models

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  • Fornari, Fabio
  • Mele, Antonio

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  • Fornari, Fabio & Mele, Antonio, 2006. "Approximating volatility diffusions with CEV-ARCH models," Journal of Economic Dynamics and Control, Elsevier, vol. 30(6), pages 931-966, June.
    • Handle: RePEc:eee:dyncon:v:30:y:2006:i:6:p:931-966
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    Cited by:

    1. Kristensen, Dennis & Mele, Antonio, 2011. "Adding and subtracting Black-Scholes: A new approach to approximating derivative prices in continuous-time models," Journal of Financial Economics, Elsevier, vol. 102(2), pages 390-415.
    2. Yinhao Wu & Ping He, 2024. "The continuous-time limit of quasi score-driven volatility models," Papers 2409.14734, arXiv.org.
    3. Buccheri, Giuseppe & Corsi, Fulvio & Flandoli, Franco & Livieri, Giulia, 2021. "The continuous-time limit of score-driven volatility models," Journal of Econometrics, Elsevier, vol. 221(2), pages 655-675.
    4. Nicolas Langren'e & Geoffrey Lee & Zili Zhu, 2015. "Switching to non-affine stochastic volatility: A closed-form expansion for the Inverse Gamma model," Papers 1507.02847, arXiv.org, revised Mar 2016.
    5. Nicolas Langrené & Geoffrey Lee & Zili Zhu, 2016. "Switching To Nonaffine Stochastic Volatility: A Closed-Form Expansion For The Inverse Gamma Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(05), pages 1-37, August.
    6. Théoret, Raymond & Racicot, François-Éric, 2010. "Forecasting stochastic Volatility using the Kalman filter: an application to Canadian Interest Rates and Price-Earnings Ratio," MPRA Paper 35911, University Library of Munich, Germany.
    7. Nicolas Langrené & Geoffrey Lee & Zili Zhu, 2016. "Switching to nonaffine stochastic volatility: a closed-form expansion for the Inverse Gamma model," Post-Print hal-02909113, HAL.
    8. Christian M. Dahl & Emma M. Iglesias, 2021. "Asymptotic normality of the MLE in the level-effect ARCH model," Statistical Papers, Springer, vol. 62(1), pages 117-135, February.
    9. Fornari, Fabio, 2010. "Assessing the compensation for volatility risk implicit in interest rate derivatives," Journal of Empirical Finance, Elsevier, vol. 17(4), pages 722-743, September.
    10. David Feldman & Xin Xu, 2018. "Equilibrium-based volatility models of the market portfolio rate of return (peacock tails or stotting gazelles)," Annals of Operations Research, Springer, vol. 262(2), pages 493-518, March.

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