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