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- Titel:
An exponential continuous time GARCH process
- Dokumenttyp:
- Zeitschriftenaufsatz
- Autor(en):
- 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.
- Stichworte:
- exponential continuous time GARCH process; EGARCH, Levy process; stationarity; stochastic volatility
- Dewey Dezimalklassifikation:
- 510 Mathematik
- Zeitschriftentitel:
- Journal of Applied Probability
- Jahr:
- 2007
- Band / Volume:
- 44
- Heft / Issue:
- 4
- Seitenangaben Beitrag:
- 960-976
- Nachgewiesen in:
- Scopus
- Reviewed:
- ja
- Sprache:
- en
- Volltext / DOI:
- doi:10.1239/jap/1197908817
- Status:
- Postprint / reviewed
- Semester:
- WS 07-08
- TUM Einrichtung:
- Lehrstuhl für Mathematische Statistik
- Format:
- Text
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