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Augmented GARCH (p,q) process and its diffusion limit
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Cited by:
- Meng-Sung Hsieh, 2016. "Asymmetric Volatility and Dynamic Asset Allocation," Accounting and Finance Research, Sciedu Press, vol. 5(2), pages 126-126, May.
- Tim Bollerslev, 2008. "Glossary to ARCH (GARCH)," CREATES Research Papers 2008-49, Department of Economics and Business Economics, Aarhus University.
- Marcel Bräutigam & Marie Kratz, 2019. "Bivariate FCLT for the Sample Quantile and Measures of Dispersion for Augmented GARCH(p, q) processes," Working Papers hal-02176276, HAL.
- Jérôme Detemple & Carlton Osakwe, 2000.
"The Valuation of Volatility Options,"
Review of Finance, European Finance Association, vol. 4(1), pages 21-50.
- Jérôme Detemple & Carlton Osakwe, 1999. "The Valuation of Volatility Options," CIRANO Working Papers 99s-43, CIRANO.
- Hafner, Christian M. & Laurent, Sebastien & Violante, Francesco, 2017.
"Weak Diffusion Limits Of Dynamic Conditional Correlation Models,"
Econometric Theory, Cambridge University Press, vol. 33(3), pages 691-716, June.
- Christian M. Hafner & Sebastien Laurent & Francesco Violante, 2015. "Weak diffusion limits of dynamic conditional correlation models," CREATES Research Papers 2015-03, Department of Economics and Business Economics, Aarhus University.
- Christian M. Hafner & Sébastien Laurent & Francesco Violante, 2017. "Weak Diffusion Limits of Dynamic Conditional Correlation Models," Post-Print hal-01590010, HAL.
- Christian M. HAFNER & Sébastien LAURENT & Francesco VIOLANTE, 2017. "Weak diffusion limits of dynamic conditional correlation models," LIDAM Reprints CORE 2866, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Hafner, C. & Laurent, S. & Violante, F., 2016. "Weak Diffusion Limits of Dynamic Conditional Correlation Models," LIDAM Discussion Papers ISBA 2016034, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- HAFNER, Christian & LAURENT, Sebastien & VIOLANTE, Francesco, 2016. "Weak Diffusion Limits of Dynamic Conditional Correlation Models," LIDAM Discussion Papers CORE 2016009, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Hafner, Christian & Laurent, Sebastien & Violante, Francesco, 2017. "Weak Diffusion Limits of Dynamic Conditional Correlation Models," LIDAM Reprints ISBA 2017014, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Wolff, Christian & Lehnert, Thorsten, 2001. "Modelling Scale-Consistent VaR with the Truncated Lévy Flight," CEPR Discussion Papers 2711, C.E.P.R. Discussion Papers.
- Yu, Jun & Yang, Zhenlin & Zhang, Xibin, 2006.
"A class of nonlinear stochastic volatility models and its implications for pricing currency options,"
Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2218-2231, December.
- Jun Yu & Zhenlin Yang & Xibin Zhang, 2002. "A Class of Nonlinear Stochastic Volatility Models and Its Implications on Pricing Currency Options," Monash Econometrics and Business Statistics Working Papers 17/02, Monash University, Department of Econometrics and Business Statistics.
- Omar Euch & Masaaki Fukasawa & Mathieu Rosenbaum, 2018. "The microstructural foundations of leverage effect and rough volatility," Finance and Stochastics, Springer, vol. 22(2), pages 241-280, April.
- Michael mcAleer, 2017.
"Stationarity and Invertibility of a Dynamic Correlation Matrix,"
Tinbergen Institute Discussion Papers
17-082/III, Tinbergen Institute.
- McAleer, M.J., 2017. "Stationarity and Invertibility of a Dynamic Correlation Matrix," Econometric Institute Research Papers TI 2017-082/III, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Stentoft, Lars, 2005. "Pricing American options when the underlying asset follows GARCH processes," Journal of Empirical Finance, Elsevier, vol. 12(4), pages 576-611, September.
- John M. Maheu & Thomas H. McCurdy, 2002.
"Nonlinear Features of Realized FX Volatility,"
The Review of Economics and Statistics, MIT Press, vol. 84(4), pages 668-681, November.
- John M. Maheu & Thomas McCurdy, 2001. "Nonlinear Features of Realized FX Volatility," CIRANO Working Papers 2001s-42, CIRANO.
- Jamal Bouoiyour & Refk Selmi, 2015.
"Exchange volatility and export performance in Egypt: New insights from wavelet decomposition and optimal GARCH model,"
The Journal of International Trade & Economic Development, Taylor & Francis Journals, vol. 24(2), pages 201-227, March.
- Bouoiyour, Jamal & Selmi, Refk, 2013. "Exchange Volatility and Export Performance in Egypt: New Insights from Wavelet Decomposition and Optimal GARCH Model," MPRA Paper 49140, University Library of Munich, Germany, revised Jan 2013.
- Jamal Bouoiyour & Refk Selmi, 2015. "Exchange Volatility and Export Performance in Egypt: New Insights from Wavelet Decomposition and Optimal GARCH Model," Post-Print hal-01879685, HAL.
- Christian M. Hafner & Michael McAleer, 2014.
"A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process,"
Tinbergen Institute Discussion Papers
14-087/III, Tinbergen Institute.
- Christian M. Hafner & Michael McAleer, 2014. "A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process," Documentos de Trabajo del ICAE 2014-29, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Christian M. Hafner & Michael McAleer, 2014. "A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process," Working Papers in Economics 14/19, University of Canterbury, Department of Economics and Finance.
- Font, Begoña, 1998. "Modelización de series temporales financieras. Una recopilación," DES - Documentos de Trabajo. EstadÃstica y EconometrÃa. DS 3664, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- 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.
- Gabriele Fiorentini & Angel León & Gonzalo Rubio, "undated".
"Short-term options with stochastic volatility: Estimation and empirical performance,"
Studies on the Spanish Economy
02, FEDEA.
- Ángel León & Gabriele Fiorentini & Gonzalo Rubio, 2000. "Short-Term Options With Stochastic Volatility: Estimation And Empirical Performance," Working Papers. Serie AD 2000-25, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- M. Angeles Carnero, 2004. "Persistence and Kurtosis in GARCH and Stochastic Volatility Models," Journal of Financial Econometrics, Oxford University Press, vol. 2(2), pages 319-342.
- Khalaf, Lynda & Saphores, Jean-Daniel & Bilodeau, Jean-Francois, 2003. "Simulation-based exact jump tests in models with conditional heteroskedasticity," Journal of Economic Dynamics and Control, Elsevier, vol. 28(3), pages 531-553, December.
- Jin Seo Cho & Peter C. B. Phillips, 2018.
"Sequentially testing polynomial model hypotheses using power transforms of regressors,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(1), pages 141-159, January.
- Jin Seo Cho & Peter C.B. Phillips, 2016. "Sequentially Testing Polynomial Model Hypotheses using Power Transforms of Regressors," Working papers 2016rwp-90, Yonsei University, Yonsei Economics Research Institute.
- Jin Seo Cho & Myung-Ho Park & Peter C. B. Phillips, 2016. "Sequentially Testing Polynomial Model Hypotheses Using Power Transforms of Regressors," Cowles Foundation Discussion Papers 2060, Cowles Foundation for Research in Economics, Yale University.
- V. Cvsa & P. Ritchken, 2001. "Pricing Claims Under GARCH-Level Dependent Interest Rate Processes," Management Science, INFORMS, vol. 47(12), pages 1693-1711, December.
- Ding, Yashuang (Dexter), 2023. "A simple joint model for returns, volatility and volatility of volatility," Journal of Econometrics, Elsevier, vol. 232(2), pages 521-543.
- Mason, Charles F. & A. Wilmot, Neil, 2014.
"Jump processes in natural gas markets,"
Energy Economics, Elsevier, vol. 46(S1), pages 69-79.
- Charles F. Mason & Neil Wilmot, 2014. "Jump Processes in Natural Gas Markets," CESifo Working Paper Series 4604, CESifo.
- Gonzalez-Rivera, Gloria & Lee, Tae-Hwy & Mishra, Santosh, 2004. "Forecasting volatility: A reality check based on option pricing, utility function, value-at-risk, and predictive likelihood," International Journal of Forecasting, Elsevier, vol. 20(4), pages 629-645.
- Badescu, Alexandru & Elliott, Robert J. & Ortega, Juan-Pablo, 2014. "Quadratic hedging schemes for non-Gaussian GARCH models," Journal of Economic Dynamics and Control, Elsevier, vol. 42(C), pages 13-32.
- Peter Christoffersen & Redouane Elkamhi & Bruno Feunou & Kris Jacobs, 2010.
"Option Valuation with Conditional Heteroskedasticity and Nonnormality,"
The Review of Financial Studies, Society for Financial Studies, vol. 23(5), pages 2139-2183.
- Peter Christoffersen & Redouane Elkamhi & Bruno Feunou & Kris Jacobs, 2009. "Option Valuation with Conditional Heteroskedasticity and Non-Normality," CREATES Research Papers 2009-33, Department of Economics and Business Economics, Aarhus University.
- Peter Christoffersen & Redouane Elkamhi & Bruno Feunou & Kris Jacobs, 2009. "Option Valuation with Conditional Heteroskedasticity and Non-Normality," CIRANO Working Papers 2009s-32, CIRANO.
- Asger Lunde & Peter R. Hansen, 2005.
"A forecast comparison of volatility models: does anything beat a GARCH(1,1)?,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(7), pages 873-889.
- Asger Lunde & Peter Reinhard Hansen, 2001. "A Forecast Comparison of Volatility Models: Does Anything Beat a GARCH(1,1)?," Working Papers 2001-04, Brown University, Department of Economics.
- Shaw, Charles, 2018. "Conditional heteroskedasticity in crypto-asset returns," MPRA Paper 90437, University Library of Munich, Germany.
- Badescu, Alexandru & Cui, Zhenyu & Ortega, Juan-Pablo, 2016. "A note on the Wang transform for stochastic volatility pricing models," Finance Research Letters, Elsevier, vol. 19(C), pages 189-196.
- Kirt Butler & Katsushi Okada, 2007. "Bivariate and higher-order terms in models of international equity returns," Applied Financial Economics, Taylor & Francis Journals, vol. 17(9), pages 725-737.
- Lehnert, Thorsten & Wolff, Christian C. P., 2004. "Scale-consistent Value-at-Risk," Finance Research Letters, Elsevier, vol. 1(2), pages 127-134, June.
- Christian M Hafner, 2020.
"Testing for Bubbles in Cryptocurrencies with Time-Varying Volatility,"
Journal of Financial Econometrics, Oxford University Press, vol. 18(2), pages 233-249.
- Hafner, Christian M., 2018. "Testing for bubbles in cryptocurrencies with time-varying volatility," IRTG 1792 Discussion Papers 2018-005, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
- Hafner, Christian, 2018. "Testing for Bubbles in Cryptocurrencies with Time-Varying Volatility," LIDAM Reprints ISBA 2018045, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Christian M. Hafner, 2018. "Testing for bubbles in cryptocurrencies with time-varying volatility," LIDAM Reprints CORE 3025, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- HAFNER Christian,, 2018. "Testing for bubbles in cryptocurrencies with time-varying volatility," LIDAM Discussion Papers CORE 2018019, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Bouoiyour, Jamal & Selmi, Refk, 2014. "Exchange Uncertainty and Export Performance in Egypt: New Insights from Wavelet Decomposition and Optimal GARCH Model," MPRA Paper 59568, University Library of Munich, Germany, revised 2014.
- Yuh-Dauh Lyuu & Chi-Ning Wu, 2005. "On accurate and provably efficient GARCH option pricing algorithms," Quantitative Finance, Taylor & Francis Journals, vol. 5(2), pages 181-198.
- Carnero, María Ángeles, 2001. "Outliers and conditional autoregressive heteroscedasticity in time series," DES - Working Papers. Statistics and Econometrics. WS ws010704, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Wolfgang Hardle & Torsten Kleinow & Alexander Korostelev & Camille Logeay & Eckhard Platen, 2008.
"Semiparametric diffusion estimation and application to a stock market index,"
Quantitative Finance, Taylor & Francis Journals, vol. 8(1), pages 81-92.
- Härdle, Wolfgang & Kleinow, Torsten & Korostelev, Alexander P. & Logeay, Camille & Platen, Eckhard, 2001. "Semiparametric diffusion estimation and application to a stock market index," SFB 373 Discussion Papers 2001,24, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Wolfgang Hardle & Torsten Kleinow & Alexander Korostelev & Camille Logeay & Eckhard Platen, 2001. "Semiparametric Diffusion Estimation and Application to a Stock Market Index," Research Paper Series 51, Quantitative Finance Research Centre, University of Technology, Sydney.
- Meitz, Mika & Saikkonen, Pentti, 2008.
"Ergodicity, Mixing, And Existence Of Moments Of A Class Of Markov Models With Applications To Garch And Acd Models,"
Econometric Theory, Cambridge University Press, vol. 24(5), pages 1291-1320, October.
- Meitz, Mika & Saikkonen, Pentti, 2004. "Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models," SSE/EFI Working Paper Series in Economics and Finance 573, Stockholm School of Economics, revised 20 Apr 2007.
- Mika Meitz & Pentti Saikkonen & University of Helsinki, 2007. "Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models," Economics Series Working Papers 327, University of Oxford, Department of Economics.
- Bali, Turan G. & Weinbaum, David, 2007. "A conditional extreme value volatility estimator based on high-frequency returns," Journal of Economic Dynamics and Control, Elsevier, vol. 31(2), pages 361-397, February.
- Wenjun Zhang & Jin E. Zhang, 2020. "GARCH Option Pricing Models and the Variance Risk Premium," JRFM, MDPI, vol. 13(3), pages 1-21, March.
- Petra Posedel, 2006. "Analysis of the Exchange Rate and Pricing Foreign Currency Options on the Croatian Market: the NGARCH Model as an Alternative to the Black-Scholes Model," Financial Theory and Practice, Institute of Public Finance, vol. 30(4), pages 347-368.
- Cassim, Lucius, 2018. "Modelling asymmetric conditional heteroskedasticity in financial asset returns: an extension of Nelson’s EGARCH model," MPRA Paper 86615, University Library of Munich, Germany.
- Lee, O. & Shin, D.W., 2005. "On stationarity and [beta]-mixing property of certain nonlinear GARCH(p,q) models," Statistics & Probability Letters, Elsevier, vol. 73(1), pages 25-35, June.
- Eunju Hwang, 2021. "Limit Theory for Stationary Autoregression with Heavy-Tailed Augmented GARCH Innovations," Mathematics, MDPI, vol. 9(8), pages 1-10, April.
- Jin-Chuan Duan & Weiqi Zhang, 2014. "Forward-Looking Market Risk Premium," Management Science, INFORMS, vol. 60(2), pages 521-538, February.
- Lee, O. & Shin, D. W., 2004. "Strict stationarity and mixing properties of asymmetric power GARCH models allowing a signed volatility," Economics Letters, Elsevier, vol. 84(2), pages 167-173, August.
- Lidija Dedi & Burhan F. Yavas, 2016. "Return and volatility spillovers in equity markets: An investigation using various GARCH methodologies," Cogent Economics & Finance, Taylor & Francis Journals, vol. 4(1), pages 1266788-126, December.
- Jin-Chuan Duan & Ivilina Popova & Peter Ritchken, 2002. "Option pricing under regime switching," Quantitative Finance, Taylor & Francis Journals, vol. 2(2), pages 116-132.
- Geoffrey F. Loudon & Wing H. Watt & Pradeep K. Yadav, 2000. "An empirical analysis of alternative parametric ARCH models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(2), pages 117-136.
- Prakash L. Dheeriya & Fahimeh Rezayat & Burhan F. Yavas, 2014. "Relations between Volatility and Returns of Exchange Traded Funds of Emerging Markets and of USA," Review of Economics & Finance, Better Advances Press, Canada, vol. 4, pages 44-46, Feburary.
- Song, Junmo & Kang, Jiwon, 2018. "Parameter change tests for ARMA–GARCH models," Computational Statistics & Data Analysis, Elsevier, vol. 121(C), pages 41-56.
- Anders Eriksson & Daniel P. A. Preve & Jun Yu, 2019.
"Forecasting Realized Volatility Using a Nonnegative Semiparametric Model,"
JRFM, MDPI, vol. 12(3), pages 1-23, August.
- Daniel Preve & Anders Eriksson & Jun Yu, "undated". "Forecasting Realized Volatility Using A Nonnegative Semiparametric Model," Working Papers CoFie-02-2007, Singapore Management University, Sim Kee Boon Institute for Financial Economics.
- Daniel PREVE & Anders ERIKSSON & Jun YU, 2009. "Forecasting Realized Volatility Using A Nonnegative Semiparametric Model," Working Papers 22-2009, Singapore Management University, School of Economics.
- Daniel Preve & Anders Eriksson & Jun Yu, 2009. "Forecasting Realized Volatility Using A Nonnegative Semiparametric Model," Finance Working Papers 23049, East Asian Bureau of Economic Research.
- Fulvio Corsi & Roberto Renò, 2012. "Discrete-Time Volatility Forecasting With Persistent Leverage Effect and the Link With Continuous-Time Volatility Modeling," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(3), pages 368-380, January.
- Marcel Brautigam & Marie Kratz, 2020. "The Impact of the Choice of Risk and Dispersion Measure on Procyclicality," Papers 2001.00529, arXiv.org.
- F. Fornari & A. Mele, 1998.
"ARCH Models and Option Pricing : The Continuous Time Connection,"
THEMA Working Papers
98-30, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- Fornari, F. & Mele, A., 1998. "ARCH Models and Option Pricing: The Continuous Time Connection," Papers 9830, Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor..
- Antonio Mele & Fabio Fornari, 1999. "ARCH Models and Option Pricing: the Continuous-Time Connection," Computing in Economics and Finance 1999 113, Society for Computational Economics.
- Chiang, Min-Hsien & Huang, Hsin-Yi, 2011. "Stock market momentum, business conditions, and GARCH option pricing models," Journal of Empirical Finance, Elsevier, vol. 18(3), pages 488-505, June.
- Gerasimos Rompotis, 2016. "Return and volatility of emerging markets leveraged ETFs," Journal of Asset Management, Palgrave Macmillan, vol. 17(3), pages 165-194, May.
- Duan, Jin-Chuan & Pliska, Stanley R., 2004. "Option valuation with co-integrated asset prices," Journal of Economic Dynamics and Control, Elsevier, vol. 28(4), pages 727-754, January.
- Peter Reinhard Hansen & Asger Lunde & James M. Nason, 2003.
"Choosing the Best Volatility Models: The Model Confidence Set Approach,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 65(s1), pages 839-861, December.
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- Peter Reinhard Hansen & Asger Lunde & James M. Nason, 2003. "Choosing the best volatility models: the model confidence set approach," FRB Atlanta Working Paper 2003-28, Federal Reserve Bank of Atlanta.
- K. Hsieh & P. Ritchken, 2005. "An empirical comparison of GARCH option pricing models," Review of Derivatives Research, Springer, vol. 8(3), pages 129-150, December.
- Wei, Steven X., 2002. "A censored-GARCH model of asset returns with price limits," Journal of Empirical Finance, Elsevier, vol. 9(2), pages 197-223, March.
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"Volatility clustering, leverage effects, and jump dynamics in the US and emerging Asian equity markets,"
Journal of Banking & Finance, Elsevier, vol. 31(9), pages 2751-2769, September.
- Daal, Elton & Naka, Atsuyuki & Yu, Jung-Suk, 2006. "Volatility Clustering, Leverage Effects, and Jump Dynamics in the US and Emerging Asian Equity Markets," Working Papers 2005-03, University of New Orleans, Department of Economics and Finance.
- Ding, Y., 2021. "Augmented Real-Time GARCH: A Joint Model for Returns, Volatility and Volatility of Volatility," Cambridge Working Papers in Economics 2112, Faculty of Economics, University of Cambridge.
- Aue, Alexander & Horváth, Lajos & Reimherr, Matthew L., 2009. "Delay times of sequential procedures for multiple time series regression models," Journal of Econometrics, Elsevier, vol. 149(2), pages 174-190, April.
- Jin-Chuan Duan & Peter H. Ritchken & Zhiqiang Sun, 2006. "Jump starting GARCH: pricing and hedging options with jumps in returns and volatilities," Working Papers (Old Series) 0619, Federal Reserve Bank of Cleveland.
- Tao, Yubo, 2019.
"Limit theory for moderate deviation from Integrated GARCH processes,"
Statistics & Probability Letters, Elsevier, vol. 150(C), pages 126-136.
- Yubo Tao, 2018. "Limit Theory for Moderate Deviation from Integrated GARCH Processes," Papers 1806.01229, arXiv.org, revised Dec 2018.
- Bali, Turan G. & Mo, Hengyong & Tang, Yi, 2008. "The role of autoregressive conditional skewness and kurtosis in the estimation of conditional VaR," Journal of Banking & Finance, Elsevier, vol. 32(2), pages 269-282, February.
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- Alexandru Badescu & Robert J. Elliott & Juan-Pablo Ortega, 2012. "Quadratic hedging schemes for non-Gaussian GARCH models," Papers 1209.5976, arXiv.org, revised Dec 2013.
- El Euch Omar & Fukasawa Masaaki & Rosenbaum Mathieu, 2016. "The microstructural foundations of leverage effect and rough volatility," Papers 1609.05177, arXiv.org.
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- Peter Christoffersen & Kris Jacobs, 2002. "Which Volatility Model for Option Valuation?," CIRANO Working Papers 2002s-33, CIRANO.
- Cassim, Lucius, 2018. "Non-parametric Estimation of GARCH (2, 2) Volatility model: A new Algorithm," MPRA Paper 86861, University Library of Munich, Germany.
- Berkes, István & Hörmann, Siegfried & Horváth, Lajos, 2008. "The functional central limit theorem for a family of GARCH observations with applications," Statistics & Probability Letters, Elsevier, vol. 78(16), pages 2725-2730, November.
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"Hedging options under transaction costs and stochastic volatility,"
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- Peter Christoffersen & Kris Jacobs, 2004. "Which GARCH Model for Option Valuation?," Management Science, INFORMS, vol. 50(9), pages 1204-1221, September.
- Duan, Jin-Chuan & Simonato, Jean-Guy, 2001. "American option pricing under GARCH by a Markov chain approximation," Journal of Economic Dynamics and Control, Elsevier, vol. 25(11), pages 1689-1718, November.
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- Charles Shaw, 2018. "Conditional heteroskedasticity in crypto-asset returns," Papers 1804.07978, arXiv.org, revised Dec 2018.
- Neil A. Wilmot, 2019. "Heavy Metals: Might as Well Jump," IJFS, MDPI, vol. 7(2), pages 1-14, June.
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"Multivariate term structure models with level and heteroskedasticity effects,"
Journal of Banking & Finance, Elsevier, vol. 29(5), pages 1037-1057, May.
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- Corradi, Valentina, 2000. "Reconsidering the continuous time limit of the GARCH(1, 1) process," Journal of Econometrics, Elsevier, vol. 96(1), pages 145-153, May.
- Bali, Turan G., 2003. "Modeling the stochastic behavior of short-term interest rates: Pricing implications for discount bonds," Journal of Banking & Finance, Elsevier, vol. 27(2), pages 201-228, February.
- Moritz Jirak, 2016. "Optimal Rate of Convergence for Empirical Quantiles and Distribution Functions for Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 37(6), pages 825-836, November.
- Turan Bali & Panayiotis Theodossiou, 2007. "A conditional-SGT-VaR approach with alternative GARCH models," Annals of Operations Research, Springer, vol. 151(1), pages 241-267, April.
- Marcel, Bräutigam & Marie, Kratz, 2019. "Bivariate FCLT for the Sample Quantile and Measures of Dispersion for Augmented GARCH(p, q) processes," ESSEC Working Papers WP1909, ESSEC Research Center, ESSEC Business School.
- Yavas, Burhan F. & Dedi, Lidija, 2016. "An investigation of return and volatility linkages among equity markets: A study of selected European and emerging countries," Research in International Business and Finance, Elsevier, vol. 37(C), pages 583-596.
- Kin-Yip Ho & Albert K Tsui, 2008. "Volatility Dynamics in Foreign Exchange Rates : Further Evidence from the Malaysian Ringgit and Singapore Dollar," Finance Working Papers 22571, East Asian Bureau of Economic Research.
- Jin-Chuan Duan & Kris Jacobs, 2001. "Short and Long Memory in Equilibrium Interest Rate Dynamics," CIRANO Working Papers 2001s-22, CIRANO.
- Cassim, Lucius, 2018. "A semi-parametric GARCH (1, 1) estimator under serially dependent innovations," MPRA Paper 86572, University Library of Munich, Germany.
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