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Document type:
Zeitschriftenaufsatz 
Author(s):
Haug, S., Stelzer, R. 
Title:
Multivariate ECOGARCH processes 
Abstract:
A multivariate extension of the exponential continuous time GARCH(p, q) model (ECOGARCH) is introduced and studied. Stationarity and mixing properties of the new stochastic volatility model are investigated and ways to model a component-wise leverage effect are presented. 
Keywords:
CARMA process, leverage effect, Levy process, multivariate exponential COGARCH, stochastic volatility 
Dewey Decimal Classification:
510 Mathematik 
Journal title:
Econometric Theory 
Year:
2011 
Journal volume:
27 
Year / month:
2011-04 
Month:
Apr 
Journal issue:
Pages contribution:
344-371 
Reviewed:
ja 
Language:
en 
Status:
Preprint / submitted 
Semester:
WS 10-11 
TUM Institution:
Lehrstuhl für Mathematische Statistik 
Format:
Text