Research graph
References from Reconsidering the continuous time limit of the GARCH(1,1) process. Local targets link to admitted publications; unresolved targets remain external evidence.
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10.1007/978-1-4612-4480-6
10.1007/978-1-4612-4480-6 · External reference
A long memory property of stock market return and a new model
10.1016/0927-5398(93)90006-d · 1993 · External reference
Temporal aggregation of GARCH processes
10.2307/2951767 · 1993 · External reference
Closing the GARCH gap: continuous GARCH modelling
10.1016/0304-4076(95)01750-x · 1996 · External reference
Augmented GARCH(p,q) process and its diffusion limit
10.1016/s0304-4076(97)00009-2 · 1997 · External reference
10.1002/9780470316658
10.1002/9780470316658 · External reference
10.1080/07474939708800382
10.1080/07474939708800382 · External reference
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10.1111/1467-9965.00043
10.1111/1467-9965.00043 · External reference
The pricing of options on assets with stochastic volatility
1987 · External reference
10.1111/1467-9965.00042
10.1111/1467-9965.00042 · External reference
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Pricing foreign currency options with stochastic volatility
10.1016/0304-4076(90)90100-8 · 1990 · External reference
ARCH models as diffusion approximations
10.1016/0304-4076(90)90092-8 · 1990 · External reference
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