Asymptotic nonequivalence of GARCH models and di?usions

By Y. Wang. 2002

105 citations recorded by the source corpus.

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Asymptotic statistical equivalence for scalar ergodic diffusions (2006, background): “Note that, although these kinds of discretisation results seem natural, Wang (2002) and Brown, Wang, and Zhao (2003) have discovered and studied surprising results on the nonequivalence in the parametric setup for GARCH time series and their diffusion limits.”
GARCH modelling in continuous time for irregularly spaced time series data (2008, methodology): “In Section 4, we discuss the implications of our results, especially with reference to Wang’s [26] far reaching observation.”
A Semiparametric Stochastic Volatility Model (2012, unknown): “However, as pointed out by Wang (2002), when discrete observations are available, the two classes of models are NOT asymptotically equivalent in terms of Le Cam’s deficiency distance.”
Continuous time volatility modelling: COGARCH versus Ornstein-Uhlenbeck models (2006, methodology): “As has been shown recently by Wang [28], parameter estimation in the discrete time GARCH and the corresponding continuous time limit stochastic volatility model may yield different estimates.”
Nonparametric Transition-Based Tests for Jump Diffusions (2009, unknown): “Other contributions in closely related topics include those of Andrews (1997), Wang (2002), Altissimo and Mele (2009), and Li and Tkacz (2006).”