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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Behme, A., Chong, C., and Klüppelberg, C. 
Titel:
Superposition of COGARCH processes 
Abstract:
We suggest three superpositions of COGARCH (supCOGARCH) volatility processes driven by Lévy processes or Lévy bases. We investigate second-order properties, jump behaviour, and prove that they exhibit Pareto-like tails. Corresponding price processes are defined and studied. We find that the supCOGARCH models allow for more flexible autocovariance structures than the COGARCH. Moreover, other than most financial volatility models, the supCOGARCH processes do not exhibit a deterministic relation...    »
 
Stichworte:
COGARCH, continuous-time GARCH model, independently scattered, infinite divisibility, Lévy basis, Lévy process, random measure, stationarity, stochastic volatility process, supCOGARCH, superposition 
Dewey Dezimalklassifikation:
510 Mathematik 
Zeitschriftentitel:
Stochastic Processes and their Applications 
Jahr:
2015 
Band / Volume:
125 
Jahr / Monat:
2015-04 
Quartal:
2. Quartal 
Monat:
Apr 
Heft / Issue:
Seitenangaben Beitrag:
1426-1469 
Reviewed:
ja 
Sprache:
en 
Verlag / Institution:
Elsevier 
Status:
Verlagsversion / published 
Semester:
SS 15 
TUM Einrichtung:
Lehrstuhl für Mathematische Statistik 
Format:
Text