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Title:

An exponential continuous time GARCH process

Document type:
Zeitschriftenaufsatz
Author(s):
Haug S. and Czado, C.
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:
4
Pages contribution:
960-976
Covered by:
Scopus
Reviewed:
ja
Language:
en
Fulltext / DOI:
doi:10.1239/jap/1197908817
Status:
Postprint / reviewed
Semester:
WS 07-08
TUM Institution:
Lehrstuhl für Mathematische Statistik
Format:
Text
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