Modelling stock market volatility : bridging the gap to continuous time

By René Garcia, Peter E. Rossi. 2000

55 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/b7ee637242becc9e3807ccec6121a157a66ea917

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Ser-Huang Poon
2. James W. Taylor
3. Clive W. J. Granger

In Finance

1. Ser-Huang Poon
2. James W. Taylor
3. Clive W. J. Granger

Citations in the corpus

• A Practical Guide to Forecasting Financial Market Volatility (2005, background): “xvi Preface could refer to, for example, Gourieroux (1997) on ARCH models, Shephard (2003) on stochastic volatility and Fouque, Papanicolaou and Sircar (2000) on stochastic volatility option pricing.”
• High moment partial sum processes of residuals in GARCH models and their applications (2005, unknown): “[20] Rossi, P., ed.”