V-uniform ergodicity of a continuous time asymmetric power GARCH(1,1) model (Q434725): Difference between revisions

@@ Property / Mathematics Subject Classification ID @@
+M10
@@ Property / Mathematics Subject Classification ID: 62M10 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+6056866
@@ Property / zbMATH DE Number: 6056866 / rank @@
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@@ Property / zbMATH Keywords @@
+continuous time asymmetric power
@@ Property / zbMATH Keywords: continuous time asymmetric power / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+GARCH(1,1) process
@@ Property / zbMATH Keywords: GARCH(1,1) process / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+COGARCH(1,1) process
@@ Property / zbMATH Keywords: COGARCH(1,1) process / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+uniform ergodicity
@@ Property / zbMATH Keywords: uniform ergodicity / rank @@
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@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.spl.2012.01.006
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@@ Property / OpenAlex ID @@
+W2072576681
@@ Property / OpenAlex ID: W2072576681 / rank @@
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@@ Property / cites work @@
+Lévy Processes and Stochastic Calculus
@@ Property / cites work: Lévy Processes and Stochastic Calculus / rank @@
+Normal rank
@@ Property / cites work @@
+Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
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+Generalized autoregressive conditional heteroscedasticity
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+Lévy-driven CARMA processes
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+An Exponential Continuous-Time GARCH Process
@@ Property / cites work: An Exponential Continuous-Time GARCH Process / rank @@
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@@ Property / cites work @@
+Method of moment estimation in the COGARCH(1,1) model
+Normal rank
@@ Property / cites work @@
+COGARCH as a continuous-time limit of GARCH(1,1)
@@ Property / cites work: COGARCH as a continuous-time limit of GARCH(1,1) / rank @@
+Normal rank
@@ Property / cites work @@
+A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour
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+Q5493557
@@ Property / cites work: Q5493557 / rank @@
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@@ Property / cites work @@
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@@ Property / cites work: Markov chains and stochastic stability / rank @@
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@@ Property / cites work: ARCH models as diffusion approximations / rank @@
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@@ Property / cites work: Q4937701 / rank @@
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@@ links / mardi / name / links / mardi / name @@
+Publication:434725