Multivariate COGARCH(1, 1) processes (Q605037): Difference between revisions

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / arXiv ID @@
+.4261
@@ Property / arXiv ID: 1002.4261 / rank @@
+Normal rank
@@ Property / cites work @@
+Lévy Processes and Stochastic Calculus
@@ Property / cites work: Lévy Processes and Stochastic Calculus / rank @@
+Normal rank
@@ Property / cites work @@
+Extensions of Type G and Marginal Infinite Divisibility
+Normal rank
@@ Property / cites work @@
+Matrix Subordinators and Related Upsilon Transformations
+Normal rank
@@ Property / cites work @@
+Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
+Normal rank
@@ Property / cites work @@
+Q5420974
@@ Property / cites work: Q5420974 / rank @@
+Normal rank
@@ Property / cites work @@
+Q5690490
@@ Property / cites work: Q5690490 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4269108
@@ Property / cites work: Q4269108 / rank @@
+Normal rank
@@ Property / cites work @@
+Continuous-time GARCH processes
@@ Property / cites work: Continuous-time GARCH processes / rank @@
+Normal rank
@@ Property / cites work @@
+Wishart processes
@@ Property / cites work: Wishart processes / rank @@
+Normal rank
@@ Property / cites work @@
+Option pricing when correlations are stochastic: an analytical framework
+Normal rank
@@ Property / cites work @@
+Ergodicity for Infinite Dimensional Systems
@@ Property / cites work: Ergodicity for Infinite Dimensional Systems / rank @@
+Normal rank
@@ Property / cites work @@
+Some properties of the Wishart processes and a matrix extension of the Hartman-Watson laws
+Normal rank
@@ Property / cites work @@
+Q3721531
@@ Property / cites work: Q3721531 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4061759
@@ Property / cites work: Q4061759 / rank @@
+Normal rank
@@ Property / cites work @@
+Continuous Time Wishart Process for Stochastic Risk
+Normal rank
@@ Property / cites work @@
+SOLVABLE AFFINE TERM STRUCTURE MODELS
@@ Property / cites work: SOLVABLE AFFINE TERM STRUCTURE MODELS / rank @@
+Normal rank
@@ Property / cites work @@
+Method of moment estimation in the COGARCH(1,1) model
+Normal rank
@@ Property / cites work @@
+Matrix Analysis
@@ Property / cites work: Matrix Analysis / rank @@
+Normal rank
@@ Property / cites work @@
+Q4040931
@@ Property / cites work: Q4040931 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4778955
@@ Property / cites work: Q4778955 / rank @@
+Normal rank
@@ Property / cites work @@
+A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour
+Normal rank
@@ Property / cites work @@
+Q5493557
@@ Property / cites work: Q5493557 / rank @@
+Normal rank
@@ Property / cites work @@
+Introductory lectures on fluctuations of Lévy processes with applications.
+Normal rank
@@ Property / cites work @@
+Type \(G\) distributions on \({\mathbb R}^d\)
@@ Property / cites work: Type \(G\) distributions on \({\mathbb R}^d\) / rank @@
+Normal rank
@@ Property / cites work @@
+The commutation matrix: Some properties and applications
+Normal rank
@@ Property / cites work @@
+On multidimensional Ornstein-Uhlenbeck processes driven by a general Lévy process
+Normal rank
@@ Property / cites work @@
+Semimartingales: A course on stochastic processes
@@ Property / cites work: Semimartingales: A course on stochastic processes / rank @@
+Normal rank
@@ Property / cites work @@
+Q3914121
@@ Property / cites work: Q3914121 / rank @@
+Normal rank
@@ Property / cites work @@
+On the definition, stationary distribution and second order structure of positive semidefinite Ornstein-Uhlenbeck type processes
+Normal rank
@@ Property / cites work @@
+Q4435813
@@ Property / cites work: Q4435813 / rank @@
+Normal rank
@@ Property / cites work @@
+Delay differential equations driven by Lévy processes: stationarity and Feller properties
+Normal rank
@@ Property / cites work @@
+On Émery's Inequality and a Variation-of-Constants Formula
+Normal rank
@@ Property / cites work @@
+Q4937701
@@ Property / cites work: Q4937701 / rank @@
+Normal rank