Benutzer: Gast  Login
Titel:

Continuous-time GARCH processes

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Brockwell, P., Chadraa, E. and Lindner, A.
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...     »
Stichworte:
Autocorrelation structure, CARMA process, COGARCH process, stochastic volatility, continuous-time GARCH process, Lyapunov exponent, random recurrence equation, stationary solution, positivity
Zeitschriftentitel:
The Annals of Applied Probability
Jahr:
2006
Band / Volume:
16
Heft / Issue:
2
Seitenangaben Beitrag:
790–826
Reviewed:
ja
Sprache:
en
WWW:
http://projecteuclid.org/euclid.aoap/1151592251
Status:
Verlagsversion / published
Semester:
WS 05-06
Format:
Text
 BibTeX