Add to ORKGIn this paper the question of how to approximate a discrete time ARCH models by continuous time diffusions is considered. Different ARCH models will generally result in different limit diffusions. The continuous time limits (weak-sense convergence) are derived for such ARCH models as GARCH, GJR-GARCH, TARCH, APARCH, HGARCH and EGARCH
The purpose of this selective review is to present recent theoretical findings on the modelling of A...
Continuous Time Random Walks (CTRWs) provide stochastic models for the random movement of any entity...
In this thesis we consider the relationship between jump-diffusion processes and ARCH models with ju...
We present a weak convergence of a discrete time process to a jump-diffusion process as the length o...
AbstractCOGARCH is an extension of the GARCH time series concept to continuous time, which has been ...
International audienceIn this paper, we propose a heteroskedastic model in discrete time which conve...
We give necessary and sucient conditions for the almost sure convergence of ARCH(1) and GARCH(1,1) d...
Continuous-time models play a central role in the theory of finance whereas empirical finance makes ...
Continuous-time models play a central role in the theory of finance whereas empirical fi-nance makes...
The discrete-time GARCH methodology which hits had such a profound influence on the modelling of het...
Weak convergence of time series processes, as the length of the discretetime interval between observ...
Abstract§ GARCH processes constitute the major area of time series variance analysis hence the limit...
AbstractA continuous time random walk (CTRW) is a random walk subordinated to a renewal process, use...
In this note we reconsider the continuous time limit of the GARCH(1, 1) process. Let k and p
We use a discrete time analysis, giving necessary and sufficient conditions for the almost sure conv...
The purpose of this selective review is to present recent theoretical findings on the modelling of A...
Continuous Time Random Walks (CTRWs) provide stochastic models for the random movement of any entity...
In this thesis we consider the relationship between jump-diffusion processes and ARCH models with ju...
We present a weak convergence of a discrete time process to a jump-diffusion process as the length o...
AbstractCOGARCH is an extension of the GARCH time series concept to continuous time, which has been ...
International audienceIn this paper, we propose a heteroskedastic model in discrete time which conve...
We give necessary and sucient conditions for the almost sure convergence of ARCH(1) and GARCH(1,1) d...
Continuous-time models play a central role in the theory of finance whereas empirical finance makes ...
Continuous-time models play a central role in the theory of finance whereas empirical fi-nance makes...
The discrete-time GARCH methodology which hits had such a profound influence on the modelling of het...
Weak convergence of time series processes, as the length of the discretetime interval between observ...
Abstract§ GARCH processes constitute the major area of time series variance analysis hence the limit...
AbstractA continuous time random walk (CTRW) is a random walk subordinated to a renewal process, use...
In this note we reconsider the continuous time limit of the GARCH(1, 1) process. Let k and p
We use a discrete time analysis, giving necessary and sufficient conditions for the almost sure conv...
The purpose of this selective review is to present recent theoretical findings on the modelling of A...
Continuous Time Random Walks (CTRWs) provide stochastic models for the random movement of any entity...
In this thesis we consider the relationship between jump-diffusion processes and ARCH models with ju...