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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Haug S. and Czado, C. 
Titel:
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. 
Stichworte:
exponential continuous time GARCH process; EGARCH, Levy process; stationarity; stochastic volatility 
Dewey Dezimalklassifikation:
510 Mathematik 
Zeitschriftentitel:
Journal of Applied Probability 
Jahr:
2007 
Band / Volume:
44 
Heft / Issue:
Seitenangaben Beitrag:
960-976 
Nachgewiesen in:
Scopus 
Reviewed:
ja 
Sprache:
en 
Status:
Postprint / reviewed 
Semester:
WS 07-08 
TUM Einrichtung:
Lehrstuhl für Mathematische Statistik 
Format:
Text