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- Titel:
Multivariate ECOGARCH processes
- Dokumenttyp:
- Zeitschriftenaufsatz
- Autor(en):
- 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.
- Stichworte:
- CARMA process, leverage effect, Levy process, multivariate exponential COGARCH, stochastic volatility
- Dewey Dezimalklassifikation:
- 510 Mathematik
- Zeitschriftentitel:
- Econometric Theory
- Jahr:
- 2011
- Band / Volume:
- 27
- Jahr / Monat:
- 2011-04
- Monat:
- Apr
- Heft / Issue:
- 2
- Seitenangaben Beitrag:
- 344-371
- Reviewed:
- ja
- Sprache:
- en
- Volltext / DOI:
- doi:10.1017/S0266466610000289
- WWW:
- Econometric Theory
- Status:
- Preprint / submitted
- Semester:
- WS 10-11
- TUM Einrichtung:
- Lehrstuhl für Mathematische Statistik
- Format:
- Text
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