An Exponential Continuous-Time GARCH Process (Q5448745): Difference between revisions
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scientific article; zbMATH DE number 5246105
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An Exponential Continuous-Time GARCH Process |
scientific article; zbMATH DE number 5246105 |
Statements
An Exponential Continuous-Time GARCH Process (English)
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7 March 2008
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exponential continuous-time GARCH process
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EGARCH
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Lévy process
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stationarity
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leverage effect
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stochastic volatility
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