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Closing the GARCH gap: Continuous time GARCH modeling

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  • Drost, Feike C.
  • Werker, Bas J. M.

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File URL: http://www.sciencedirect.com/science/article/B6VC0-3XDS2R2-3/2/7aea05312ace7f836a1ff1e74090105e
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Bibliographic Info

Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 74 (1996)
Issue (Month): 1 (September)
Pages: 31-57

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Handle: RePEc:eee:econom:v:74:y:1996:i:1:p:31-57

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Web page: http://www.elsevier.com/locate/jeconom

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References

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  1. Drost, F.C. & Nijman, T.E. & Werker, B.J.M., 1994. "Estimation and testing in models containing both jumps and conditional heteroskedasticity," Discussion Paper 1994-105, Tilburg University, Center for Economic Research.
  2. Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1985. "A Theory of the Term Structure of Interest Rates," Econometrica, Econometric Society, vol. 53(2), pages 385-407, March.
  3. Nijman, T. & Sentana, E., 1994. "Marginalization and Contemporaneous Aggregation in Multivariate Garch Proceses," Papers 9419, Centro de Estudios Monetarios Y Financieros-.
  4. Drost, F.C. & Nijman, T.E., 1992. "Temporal Aggregation of Garch Processes," Papers 9240, Tilburg - Center for Economic Research.
  5. Weiss, Andrew A., 1986. "Asymptotic Theory for ARCH Models: Estimation and Testing," Econometric Theory, Cambridge University Press, vol. 2(01), pages 107-131, April.
  6. Vlaar, Peter J G & Palm, Franz C, 1993. "The Message in Weekly Exchange Rates in the European Monetary System: Mean Reversion, Conditional Heteroscedasticity, and Jumps," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(3), pages 351-60, July.
  7. Johnson, Herb & Shanno, David, 1987. "Option Pricing when the Variance Is Changing," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(02), pages 143-151, June.
  8. Nelson, Daniel B., 1990. "ARCH models as diffusion approximations," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 7-38.
  9. Philippe Jorion, 1988. "On Jump Processes in the Foreign Exchange and Stock Markets," Review of Financial Studies, Society for Financial Studies, vol. 1(4), pages 427-445.
  10. Drost, Feike C. & Klaassen, Chris A. J., 1997. "Efficient estimation in semiparametric GARCH models," Journal of Econometrics, Elsevier, vol. 81(1), pages 193-221, November.
  11. Gourieroux, C & Monfort, A & Renault, E, 1993. "Indirect Inference," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(S), pages S85-118, Suppl. De.
  12. Amin, Kaushik I, 1993. " Jump Diffusion Option Valuation in Discrete Time," Journal of Finance, American Finance Association, vol. 48(5), pages 1833-63, December.
  13. Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1985. "An Intertemporal General Equilibrium Model of Asset Prices," Econometrica, Econometric Society, vol. 53(2), pages 363-84, March.
  14. Stengos, T. & Li, Q., 1993. "Adaptive Estimation in the Panel Data Error Component Model with Heteroskedasticity of Unknown Form," Working Papers 1993-4, University of Guelph, Department of Economics and Finance.
  15. Huang, Chi-fu, 1987. "An Intertemporal General Equilibrium Asset Pricing Model: The Case of Diffusion Information," Econometrica, Econometric Society, vol. 55(1), pages 117-42, January.
  16. Fan, Y. & Li, Q. & Stengos, T., 1993. "Adaptive Estimation in Semiparametric Regression Models with Conditionally Heteroskedastic Disturbances," Working Papers 1993-2, University of Guelph, Department of Economics and Finance.
  17. Fan, Y. & Li, Q. & Stengos, T., 1993. "Adaptive Estimation in Semiparametric Regression Models with Conditionally Heteroskedastic Disturbances," Working Papers 1993-2, University of Guelph, Department of Economics and Finance.
  18. repec:fth:inseep:9215 is not listed on IDEAS
  19. Amin, Kaushik I & Ng, Victor K, 1993. " Option Valuation with Systematic Stochastic Volatility," Journal of Finance, American Finance Association, vol. 48(3), pages 881-910, July.
  20. Naik, Vasanttilak, 1993. " Option Valuation and Hedging Strategies with Jumps in the Volatility of Asset Returns," Journal of Finance, American Finance Association, vol. 48(5), pages 1969-84, December.
  21. Stengos, T. & Li, Q., 1993. "Adaptive Estimation in the Panel Data Error Component Model with Heteroskedasticity of Unknown Form," Working Papers 1993-4, University of Guelph, Department of Economics and Finance.
  22. Oliver Linton, 1993. "Adaptive Estimation in ARCH Models," Cowles Foundation Discussion Papers 1054, Cowles Foundation for Research in Economics, Yale University.
  23. Heston, Steven L, 1993. " Invisible Parameters in Option Prices," Journal of Finance, American Finance Association, vol. 48(3), pages 933-47, July.
  24. Daniel B. Nelson & Dean P. Foster, 1994. "Asypmtotic Filtering Theory for Univariate Arch Models," NBER Technical Working Papers 0129, National Bureau of Economic Research, Inc.
  25. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
  26. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
  27. Melino, Angelo & Turnbull, Stuart M., 1990. "Pricing foreign currency options with stochastic volatility," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 239-265.
  28. Nelson, Daniel B & Cao, Charles Q, 1992. "Inequality Constraints in the Univariate GARCH Model," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(2), pages 229-35, April.
  29. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
  30. Scott, Louis O., 1987. "Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(04), pages 419-438, December.
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