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Title:

Multivariate ECOGARCH processes

Document type:
Zeitschriftenaufsatz
Author(s):
Haug, S., Stelzer, R.
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:
2
Pages contribution:
344-371
Reviewed:
ja
Language:
en
Fulltext / DOI:
doi:10.1017/S0266466610000289
WWW:
Econometric Theory
Status:
Preprint / submitted
Semester:
WS 10-11
TUM Institution:
Lehrstuhl für Mathematische Statistik
Format:
Text
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