A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour

DOI10.1239/jap/1091543413zbMath1068.62093OpenAlexW2022695740WikidataQ55952366 ScholiaQ55952366MaRDI QIDQ4667987

Alexander M. Lindner, Claudia Klüppelberg, Ross A. Maller

Publication date: 18 April 2005

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://epub.ub.uni-muenchen.de/1794/

zbMATH Keywords

stabilitystationarityLévy processperpetuitiesGARCH modelARCH modelconditional heteroscedasticitystochastic integratio

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Stationary stochastic processes (60G10) Continuous-time Markov processes on general state spaces (60J25) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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