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Document type:
Zeitschriftenaufsatz 
Author(s):
Brockwell, P., Chadraa, E. and Lindner, A. 
Title:
Continuous-time GARCH processes 
Abstract:
For an AR(1) process with ARCH(1) errors, we propose empirical likelihood tests for testing whether the sequence is strictly stationary but has infinite variance, or the sequence is an ARCH(1) sequence or the sequence is an iid sequence. Moreover, an empirical likelihood based confidence interval for the parameter in the AR part is proposed. All of these results do not require more than a finite second moment of the innovations. This includes the case of t-innovations for any degree of freedom l...    »
 
Keywords:
Autocorrelation structure, CARMA process, COGARCH process, stochastic volatility, continuous-time GARCH process, Lyapunov exponent, random recurrence equation, stationary solution, positivity 
Journal title:
The Annals of Applied Probability 
Year:
2006 
Journal volume:
16 
Journal issue:
Pages contribution:
790–826 
Reviewed:
ja 
Language:
en 
Status:
Verlagsversion / published 
Semester:
WS 05-06 
Format:
Text