<?xml version="1.0" encoding="utf-8"?>
<TEI xmlns="http://www.tei-c.org/ns/1.0" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xmlns:hal="http://hal.archives-ouvertes.fr/" xmlns:gml="http://www.opengis.net/gml/3.3/" xmlns:gmlce="http://www.opengis.net/gml/3.3/ce" version="1.1" xsi:schemaLocation="http://www.tei-c.org/ns/1.0 http://api.archives-ouvertes.fr/documents/aofr-sword.xsd">
  <teiHeader>
    <fileDesc>
      <titleStmt>
        <title>HAL TEI export of hal-00693440</title>
      </titleStmt>
      <publicationStmt>
        <distributor>CCSD</distributor>
        <availability status="restricted">
          <licence target="https://creativecommons.org/publicdomain/zero/1.0/">CC0 1.0 - Universal</licence>
        </availability>
        <date when="2026-05-22T14:51:45+02:00"/>
      </publicationStmt>
      <sourceDesc>
        <p part="N">HAL API Platform</p>
      </sourceDesc>
    </fileDesc>
  </teiHeader>
  <text>
    <body>
      <listBibl>
        <biblFull>
          <titleStmt>
            <title xml:lang="en">A link between complete models with stochastic volatility and ARCH models</title>
            <author role="aut">
              <persName>
                <forename type="first">Thiery</forename>
                <surname>Jeantheau</surname>
              </persName>
              <idno type="halauthorid">504929-0</idno>
              <affiliation ref="#struct-29"/>
            </author>
            <editor role="depositor">
              <persName>
                <forename>Admin</forename>
                <surname>Lama</surname>
              </persName>
              <email type="md5">d7ae1bbe2327438bd16936a865a90857</email>
              <email type="domain">univ-mlv.fr</email>
            </editor>
          </titleStmt>
          <editionStmt>
            <edition n="v1" type="current">
              <date type="whenSubmitted">2012-05-02 16:43:02</date>
              <date type="whenModified">2026-04-02 11:58:01</date>
              <date type="whenReleased">2012-05-02 16:43:16</date>
              <date type="whenProduced">2004</date>
              <ref type="externalLink" target="https://api.istex.fr/ark:/67375/VQC-GSXNJ6XV-2/fulltext.pdf?sid=hal"/>
            </edition>
            <respStmt>
              <resp>contributor</resp>
              <name key="162865">
                <persName>
                  <forename>Admin</forename>
                  <surname>Lama</surname>
                </persName>
                <email type="md5">d7ae1bbe2327438bd16936a865a90857</email>
                <email type="domain">univ-mlv.fr</email>
              </name>
            </respStmt>
          </editionStmt>
          <publicationStmt>
            <distributor>CCSD</distributor>
            <idno type="halId">hal-00693440</idno>
            <idno type="halUri">https://hal.science/hal-00693440</idno>
            <idno type="halBibtex">jeantheau:hal-00693440</idno>
            <idno type="halRefHtml">&lt;i&gt;Finance and Stochastics&lt;/i&gt;, 2004, 8 (1), pp.111--131. &lt;a target="_blank" href="https://dx.doi.org/10.1007/s00780-003-0103-6"&gt;&amp;#x27E8;10.1007/s00780-003-0103-6&amp;#x27E9;&lt;/a&gt;</idno>
            <idno type="halRef">Finance and Stochastics, 2004, 8 (1), pp.111--131. &amp;#x27E8;10.1007/s00780-003-0103-6&amp;#x27E9;</idno>
            <availability status="restricted"/>
          </publicationStmt>
          <seriesStmt>
            <idno type="stamp" n="CNRS">CNRS - Centre national de la recherche scientifique</idno>
            <idno type="stamp" n="UNIV-MLV">Université de Marne la Vallée</idno>
            <idno type="stamp" n="LAMA_UMR8050" corresp="UPEC">Laboratoire d'Analyse et de Mathématiques Appliquées</idno>
            <idno type="stamp" n="CV_UNIV-MLV">CV des membres de l'Université de Marne-la-vallée</idno>
            <idno type="stamp" n="CV_LAMA_UMR8050" corresp="CV_UNIV-MLV">CV des membres de LAMA UMR 8050</idno>
            <idno type="stamp" n="LAMA_PS" corresp="LAMA_UMR8050">Probabilités et statistiques</idno>
            <idno type="stamp" n="UPEC" corresp="CV_UPEC">Université Paris-Est Créteil Val-de-Marne</idno>
            <idno type="stamp" n="UNIV-EIFFEL">Université Gustave Eiffel</idno>
            <idno type="stamp" n="UPEM-UNIVEIFFEL">Université Paris-Est Marne-la-Vallée</idno>
          </seriesStmt>
          <notesStmt>
            <note type="audience" n="2">International</note>
            <note type="popular" n="0">No</note>
            <note type="peer" n="1">Yes</note>
          </notesStmt>
          <sourceDesc>
            <biblStruct>
              <analytic>
                <title xml:lang="en">A link between complete models with stochastic volatility and ARCH models</title>
                <author role="aut">
                  <persName>
                    <forename type="first">Thiery</forename>
                    <surname>Jeantheau</surname>
                  </persName>
                  <idno type="halauthorid">504929-0</idno>
                  <affiliation ref="#struct-29"/>
                </author>
              </analytic>
              <monogr>
                <idno type="halJournalId" status="VALID">13354</idno>
                <idno type="issn">0949-2984</idno>
                <idno type="eissn">1432-1122</idno>
                <title level="j">Finance and Stochastics</title>
                <imprint>
                  <publisher>Springer Verlag (Germany)</publisher>
                  <biblScope unit="volume">8</biblScope>
                  <biblScope unit="issue">1</biblScope>
                  <biblScope unit="pp">111--131</biblScope>
                  <date type="datePub">2004</date>
                </imprint>
              </monogr>
              <idno type="doi">10.1007/s00780-003-0103-6</idno>
            </biblStruct>
          </sourceDesc>
          <profileDesc>
            <langUsage>
              <language ident="en">English</language>
            </langUsage>
            <textClass>
              <classCode scheme="halTypology" n="ART">Journal articles</classCode>
              <classCode scheme="halOldTypology" n="ART">Journal articles</classCode>
              <classCode scheme="halTreeTypology" n="ART">Journal articles</classCode>
            </textClass>
            <abstract xml:lang="en">
              <p>In this paper, we propose a heteroskedastic model in discrete time which converges, when the sampling interval goes to zero, towards the complete model with stochastic volatility in continuous time described in Hobson and Rogers (1998). Then, we study its stationarity and moment properties. In particular, we exhibit a specific model which shares many properties with the GARCH(1, 1) model, establishing a clear link between the two approaches. We also prove the consistency of the pseudo conditional likelihood maximum estimates for this specific model.</p>
            </abstract>
          </profileDesc>
        </biblFull>
      </listBibl>
    </body>
    <back>
      <listOrg type="structures">
        <org type="laboratory" xml:id="struct-29" status="OLD">
          <idno type="IdRef">140519378</idno>
          <idno type="RNSR">200212718V</idno>
          <orgName>Laboratoire d'Analyse et de Mathématiques Appliquées</orgName>
          <orgName type="acronym">LAMA</orgName>
          <date type="end">2019-12-31</date>
          <desc>
            <address>
              <addrLine>Université Paris-Est Créteil LAMA UMR CNRS 8050 UFR des Sciences et TechnologieBâtiment P3 - 4ème étage -61, avenue du Général de Gaulle 94010 Créteil Cedex</addrLine>
              <country key="FR"/>
            </address>
            <ref type="url">http://umr-math.univ-mlv.fr/</ref>
          </desc>
          <listRelation>
            <relation active="#struct-301243" type="direct"/>
            <relation active="#struct-302085" type="direct"/>
            <relation name="FRA3522 / FR3522" active="#struct-441569" type="direct"/>
            <relation name="UMR8050" active="#struct-420786" type="direct"/>
            <relation name="UMR8050" active="#struct-441569" type="direct"/>
          </listRelation>
        </org>
        <org type="institution" xml:id="struct-301243" status="OLD">
          <idno type="IdRef">030820499</idno>
          <idno type="ISNI">0000000115124813</idno>
          <idno type="ROR">https://ror.org/02aqt9c37</idno>
          <orgName>Université Paris-Est Marne-la-Vallée</orgName>
          <orgName type="acronym">UPEM</orgName>
          <date type="start">1991-07-22</date>
          <date type="end">2019-12-31</date>
          <desc>
            <address>
              <addrLine>5 boulevard Descartes - Champs-sur-Marne - 77454 Marne-la-Vallée Cedex 2</addrLine>
              <country key="FR"/>
            </address>
            <ref type="url">http://www.u-pem.fr/</ref>
          </desc>
        </org>
        <org type="regrouplaboratory" xml:id="struct-302085" status="VALID">
          <idno type="RNSR">201220485U</idno>
          <orgName>Fédération de Recherche Bézout</orgName>
          <orgName type="acronym">BEZOUT</orgName>
          <date type="start">2012-01-01</date>
          <desc>
            <address>
              <addrLine>5, bd Descartes, Champs-sur-Marne77455 Marne-la-Vallée Cedex 2 – France</addrLine>
              <country key="FR"/>
            </address>
            <ref type="url">https://labex-bezout.fr/bezout-federation/</ref>
          </desc>
          <listRelation>
            <relation name="FRA3522 / FR3522" active="#struct-441569" type="direct"/>
          </listRelation>
        </org>
        <org type="regroupinstitution" xml:id="struct-441569" status="VALID">
          <idno type="IdRef">02636817X</idno>
          <idno type="ISNI">0000000122597504</idno>
          <idno type="ROR">https://ror.org/02feahw73</idno>
          <orgName>Centre National de la Recherche Scientifique</orgName>
          <orgName type="acronym">CNRS</orgName>
          <date type="start">1939-10-19</date>
          <desc>
            <address>
              <country key="FR"/>
            </address>
            <ref type="url">https://www.cnrs.fr/</ref>
          </desc>
        </org>
        <org type="institution" xml:id="struct-420786" status="VALID">
          <idno type="IdRef">028021037</idno>
          <idno type="ISNI">0000000121497878</idno>
          <idno type="ROR">https://ror.org/05ggc9x40</idno>
          <orgName>Université Paris-Est Créteil Val-de-Marne - Paris 12</orgName>
          <orgName type="acronym">UPEC UP12</orgName>
          <date type="start">1970-01-01</date>
          <desc>
            <address>
              <addrLine>61 avenue du Général de Gaulle - 94010 Créteil cedex</addrLine>
              <country key="FR"/>
            </address>
            <ref type="url">http://www.u-pec.fr/</ref>
          </desc>
        </org>
      </listOrg>
    </back>
  </text>
</TEI>