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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Haug, S., Stelzer, R. 
Titel:
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. 
Stichworte:
CARMA process, leverage effect, Levy process, multivariate exponential COGARCH, stochastic volatility 
Dewey Dezimalklassifikation:
510 Mathematik 
Zeitschriftentitel:
Econometric Theory 
Jahr:
2011 
Band / Volume:
27 
Jahr / Monat:
2011-04 
Monat:
Apr 
Heft / Issue:
Seitenangaben Beitrag:
344-371 
Reviewed:
ja 
Sprache:
en 
Status:
Preprint / submitted 
Semester:
WS 10-11 
TUM Einrichtung:
Lehrstuhl für Mathematische Statistik 
Format:
Text