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Closing the GARCH gap: Continuous time GARCH modeling

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  • Werker, B.J.M.

    (Tilburg University)

  • Drost, F.C.

    (Tilburg University)

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Bibliographic Info

Paper provided by Tilburg University in its series Open Access publications from Tilburg University with number urn:nbn:nl:ui:12-72561.

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Date of creation: 1996
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Publication status: Published in Journal of Econometrics (1996) v.74, p.31-57
Handle: RePEc:ner:tilbur:urn:nbn:nl:ui:12-72561

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Web page: http://www.tilburguniversity.edu/

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References

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  1. Drost, Feike C. & Klaassen, Chris A. J., 1997. "Efficient estimation in semiparametric GARCH models," Journal of Econometrics, Elsevier, Elsevier, vol. 81(1), pages 193-221, November.
  2. 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, Elsevier, vol. 52(1-2), pages 5-59.
  3. Linton, Oliver, 1993. "Adaptive Estimation in ARCH Models," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 9(04), pages 539-569, August.
  4. Drost, F.C. & Nijman, T.E., 1990. "Temporal Aggregation Of Garch Processes," Papers, Tilburg - Center for Economic Research 9066, Tilburg - Center for Economic Research.
  5. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
  6. repec:fth:inseep:9215 is not listed on IDEAS
  7. Philippe Jorion, 1988. "On Jump Processes in the Foreign Exchange and Stock Markets," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 1(4), pages 427-445.
  8. Amin, Kaushik I, 1993. " Jump Diffusion Option Valuation in Discrete Time," Journal of Finance, American Finance Association, American Finance Association, vol. 48(5), pages 1833-63, December.
  9. Nelson, Daniel B & Foster, Dean P, 1994. "Asymptotic Filtering Theory for Univariate ARCH Models," Econometrica, Econometric Society, Econometric Society, vol. 62(1), pages 1-41, January.
  10. 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, Cambridge University Press, vol. 22(04), pages 419-438, December.
  11. Stengos, T. & Li, Q., 1993. "Adaptive Estimation in the Panel Data Error Component Model with Heteroskedasticity of Unknown Form," Working Papers, University of Guelph, Department of Economics and Finance 1993-4, University of Guelph, Department of Economics and Finance.
  12. Drost, F.C. & Nijman, T.E. & Werker, B.J.M., 1994. "Estimation and testing in models containing both jumps and conditional heteroskedasticity," Discussion Paper, Tilburg University, Center for Economic Research 1994-105, Tilburg University, Center for Economic Research.
  13. Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1985. "A Theory of the Term Structure of Interest Rates," Econometrica, Econometric Society, Econometric Society, vol. 53(2), pages 385-407, March.
  14. Weiss, Andrew A., 1986. "Asymptotic Theory for ARCH Models: Estimation and Testing," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 2(01), pages 107-131, April.
  15. Nijman, T. & Sentana, E., 1994. "Marginalization and Contemporaneous Aggregation in Multivariate Garch Proceses," Papers, Centro de Estudios Monetarios Y Financieros- 9419, Centro de Estudios Monetarios Y Financieros-.
  16. Naik, Vasanttilak, 1993. " Option Valuation and Hedging Strategies with Jumps in the Volatility of Asset Returns," Journal of Finance, American Finance Association, American Finance Association, vol. 48(5), pages 1969-84, December.
  17. Huang, Chi-fu, 1987. "An Intertemporal General Equilibrium Asset Pricing Model: The Case of Diffusion Information," Econometrica, Econometric Society, Econometric Society, vol. 55(1), pages 117-42, January.
  18. Heston, Steven L, 1993. " Invisible Parameters in Option Prices," Journal of Finance, American Finance Association, American Finance Association, vol. 48(3), pages 933-47, July.
  19. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, Elsevier, vol. 31(3), pages 307-327, April.
  20. Fan, Y. & Li, Q. & Stengos, T., 1993. "Adaptive Estimation in Semiparametric Regression Models with Conditionally Heteroskedastic Disturbances," Working Papers, University of Guelph, Department of Economics and Finance 1993-2, University of Guelph, Department of Economics and Finance.
  21. Gourieroux, C. & Monfort, A. & Renault, E., 1992. "Indirect Inference," Papers, Toulouse - GREMAQ 92.279, Toulouse - GREMAQ.
  22. repec:fth:guelph:1993-2 is not listed on IDEAS
  23. Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1985. "An Intertemporal General Equilibrium Model of Asset Prices," Econometrica, Econometric Society, Econometric Society, vol. 53(2), pages 363-84, March.
  24. Nelson, Daniel B & Cao, Charles Q, 1992. "Inequality Constraints in the Univariate GARCH Model," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 10(2), pages 229-35, April.
  25. Nelson, Daniel B., 1990. "ARCH models as diffusion approximations," Journal of Econometrics, Elsevier, Elsevier, vol. 45(1-2), pages 7-38.
  26. Johnson, Herb & Shanno, David, 1987. "Option Pricing when the Variance Is Changing," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 22(02), pages 143-151, June.
  27. Amin, Kaushik I & Ng, Victor K, 1993. " Option Valuation with Systematic Stochastic Volatility," Journal of Finance, American Finance Association, American Finance Association, vol. 48(3), pages 881-910, July.
  28. 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, American Statistical Association, vol. 11(3), pages 351-60, July.
  29. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, Econometric Society, vol. 50(4), pages 987-1007, July.
  30. Melino, Angelo & Turnbull, Stuart M., 1990. "Pricing foreign currency options with stochastic volatility," Journal of Econometrics, Elsevier, Elsevier, vol. 45(1-2), pages 239-265.
  31. repec:fth:guelph:1993-4 is not listed on IDEAS
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