Login
- 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
BibTeX