the volatility process we assume GARCH, TGARCH and stochastic volatility. The results indicate that standard QML inference …

the volatility process we assume GARCH, TGARCH and stochastic volatility. The results indicate that standard quasi …

distribution including no condition on the existence of moments allowing for heterogeneity (or heteroskedasticity) of unknown form …, noncontinuous distributions, and very general serial dependence (linear or nonlinear) including GARCH-type and stochastic volatility … condition on error moment existence, allowing for heterogeneity (or heteroskedasticity) of unknown form, noncontinuous …

option prices on autoregressive dynamics under stylized facts of stock returns, i.e., conditional heteroskedasticity … suggest that a non-zero autoregression coefficient tends to increase the deviation of option prices from Black & Scholes …

option prices on autoregressive dynamics under stylized facts of stock returns, i.e., conditional heteroskedasticity … suggest that a non-zero autoregression coefficient tends to increase the deviation of option prices from Black & Scholes …

The main contribution of this paper is a proof of the asymptotic validity of the application of the bootstrap to AR …(∞) processes with unmodelled conditional heteroskedasticity. We first derive the asymptotic properties of the least … difference errors that are possibly subject to conditional heteroskedasticity of unknown form. These results are then used in …