A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour
نویسندگان
چکیده
منابع مشابه
A Continuous Time GARCH Process Driven by a Lévy Process: Stationarity and Second Order Behaviour
We use a discrete time analysis, giving necessary and sufficient conditions for the almost sure convergence of ARCH(1) and GARCH(1,1) discrete time models, to suggest an extension of the (G)ARCH concept to continuous time processes. Our “COGARCH” (continuous time GARCH) model, based on a single background driving Lévy process, is different from, though related to, other continuous time stochast...
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ژورنال
عنوان ژورنال: Journal of Applied Probability
سال: 2004
ISSN: 0021-9002,1475-6072
DOI: 10.1239/jap/1091543413