Asymmetric COGARCH processes (Q5245621): Difference between revisions

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+.7068
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+Q5495335
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+Stationary solutions of the stochastic differential equation \(dV_t = V_t -dU_t + dL_t\) with Lévy noise
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+Higher Moments and Prediction‐Based Estimation for the COGARCH(1,1) Model
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+Generalized autoregressive conditional heteroscedasticity
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+Time series: theory and methods
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+Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
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+Asymptotic results for sample autocovariance functions and extremes of integrated generalized Ornstein-Uhlenbeck processes
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+Method of moment estimation in the COGARCH(1,1) model
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+Discretization of processes.
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+Q5255141
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+A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour
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+Q5493557
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+GARCH modelling in continuous time for irregularly spaced time series data
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+Stable limits of martingale transforms with application to the estimation of GARCH parame\-ters
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+ARCH models as diffusion approximations
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+APPROXIMATING VOLATILITIES BY ASYMMETRIC POWER GARCH FUNCTIONS
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+First jump approximation of a Lévy-driven SDE and an application to multivariate ECOGARCH processes
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+Estimation in conditionally heteroscedatic time series models.
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+Threshold heteroskedastic models
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