Zobrazeno 1 - 2
of 2
pro vyhledávání: '"Chadraa, Erdenebaatar"'
Publikováno v:
Annals of Applied Probability 2006, Vol. 16, No. 2, 790-826
A family of continuous-time generalized autoregressive conditionally heteroscedastic processes, generalizing the $\operatorname {COGARCH}(1,1)$ process of Kl\"{u}ppelberg, Lindner and Maller [J. Appl. Probab. 41 (2004) 601--622], is introduced and st
Externí odkaz:
http://arxiv.org/abs/math/0607109
A continuous time GARCH model of order (p,q) is introduced, which is driven by a single Lévy process. It extends many of the features of discrete time GARCH(p,q) processes to a continuous time setting. When p=q=1, the process thus defined reduces to
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::a17d8b064031453d25ebd48be3ec5153
https://hdl.handle.net/10419/31103
https://hdl.handle.net/10419/31103