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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:
Pages contribution:
960-976 
Covered by:
Scopus 
Reviewed:
ja 
Language:
en 
Status:
Postprint / reviewed 
Semester:
WS 07-08 
TUM Institution:
Lehrstuhl für Mathematische Statistik 
Format:
Text