MULTIVARIATE ECOGARCH PROCESSES (Q3168874): Difference between revisions

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+Q59278110
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+Multivariate CARMA processes
@@ Property / cites work: Multivariate CARMA processes / rank @@
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+Multivariate COGARCH(1, 1) processes
@@ Property / cites work: Multivariate COGARCH(1, 1) processes / rank @@
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+GARCH modelling in continuous time for irregularly spaced time series data
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+A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour
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+Matrix exponential GARCH
@@ Property / cites work: Matrix exponential GARCH / rank @@
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+Mixing Conditions for Markov Chains
@@ Property / cites work: Mixing Conditions for Markov Chains / rank @@
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+Q4040931
@@ Property / cites work: Q4040931 / rank @@
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+An Exponential Continuous-Time GARCH Process
@@ Property / cites work: An Exponential Continuous-Time GARCH Process / rank @@
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+The Matrix-Logarithmic Covariance Model
@@ Property / cites work: The Matrix-Logarithmic Covariance Model / rank @@
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+Continuous Time Wishart Process for Stochastic Risk
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+Existence and uniqueness of stationary Lévy-driven CARMA processes
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+Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
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+Time series: theory and methods.
@@ Property / cites work: Time series: theory and methods. / rank @@
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+Generalized autoregressive conditional heteroscedasticity
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+Q5690490
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+Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
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+Lévy Processes and Stochastic Calculus
@@ Property / cites work: Lévy Processes and Stochastic Calculus / rank @@
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+First jump approximation of a Lévy-driven SDE and an application to multivariate ECOGARCH processes
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+A MULTIVARIATE VARIANCE GAMMA MODEL FOR FINANCIAL APPLICATIONS
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+Q4937701
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+Genetic modelling of multivariate EGARCHX-processes: evidence on the international asset return signal response mechanism
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+Conditional Heteroskedasticity in Asset Returns: A New Approach
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+ARCH models as diffusion approximations
@@ Property / cites work: ARCH models as diffusion approximations / rank @@
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