An Exponential Continuous-Time GARCH Process
نویسندگان
چکیده
منابع مشابه
An exponential continuous time GARCH process
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.
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ژورنال
عنوان ژورنال: Journal of Applied Probability
سال: 2007
ISSN: 0021-9002,1475-6072
DOI: 10.1239/jap/1197908817