A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour (Q4667987): Difference between revisions
From MaRDI portal
Created a new Item |
Added link to MaRDI item. |
||
| links / mardi / name | links / mardi / name | ||
Revision as of 17:41, 7 February 2024
scientific article; zbMATH DE number 2158153
| Language | Label | Description | Also known as |
|---|---|---|---|
| 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)
0 references
18 April 2005
0 references
ARCH model
0 references
GARCH model
0 references
stability
0 references
stationarity
0 references
conditional heteroscedasticity
0 references
perpetuities
0 references
stochastic integratio
0 references
Lévy process
0 references
