A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour (Q4667987): Difference between revisions

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Latest revision as of 09:02, 10 June 2024

scientific article; zbMATH DE number 2158153
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English
A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour
scientific article; zbMATH DE number 2158153

    Statements

    A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour (English)
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    18 April 2005
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    ARCH model
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    GARCH model
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    stability
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    stationarity
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    conditional heteroscedasticity
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    perpetuities
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    stochastic integratio
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    Lévy process
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    Identifiers

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