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- Document type:
- Zeitschriftenaufsatz
- Author(s):
- Haug S. and Czado, C.
- Title:
- An exponential continuous time GARCH process
- Abstract:
- In this paper we introduce an exponential continuous time GARCH(p, q) process. It is defined in such a way that it is a continuous time extension of the discrete time EGARCH(p, q) process. We investigate stationarity, mixing and moment properties of the new model. An instantaneous leverage effect can be shown for the exponential continuous time GARCH(p, p) model.
- Keywords:
- exponential continuous time GARCH process; EGARCH, Levy process; stationarity; stochastic volatility
- Dewey Decimal Classification:
- 510 Mathematik
- Journal title:
- Journal of Applied Probability
- Year:
- 2007
- Journal volume:
- 44
- Journal issue:
- 4
- Pages contribution:
- 960-976
- Covered by:
- Scopus
- Reviewed:
- ja
- Language:
- en
- Fulltext / DOI:
- doi:10.1239/jap/1197908817
- Status:
- Postprint / reviewed
- Semester:
- WS 07-08
- TUM Institution:
- Lehrstuhl für Mathematische Statistik
- Format:
- Text
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