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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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