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A. Thavaneswaran and C. C. Heyde, “Prediction via Estimating Functions,” Journal of Statistical Planning and Inference, Vol. 77, No. 1, 1999, pp. 89-101. doi:10.1016/S0378-3758(98)00179-7

has been cited by the following article:

• TITLE: Option Pricing Applications of Quadratic Volatility Models

  AUTHORS: Srimantoorao. S. Appadoo, Aerambamoorthy Thavaneswaran, Saman Muthukumarana

  KEYWORDS: Garch Processes; RCA Models; Garch Models; Time Varying Volatility; Kurtosis

  JOURNAL NAME: Journal of Mathematical Finance, Vol.2 No.2, May 23, 2012

  ABSTRACT: Recently there has been a surge of interest in higher order moment properties of time varying volatility models. Various GARCH-type models have been developed and successfully applied in empirical finance. Moment properties are important because the existence of moments permit verification of how well theoretical models match stylized facts such as fat tails in most financial data. In this paper, we consider various types of random coefficient autoregressive (RCA) models with quadratic generalized autoregressive conditional heteroscedasticity (GARCH) errors and study the mo-ments, mean, variance and kurtosis. We also consider the Black-Scholes model with RCA GARCH volatility and show that these moments can be used to evaluate the call price for European options.