Multivariate COGARCH(1, 1) processes (Q605037)

From MaRDI portal
Revision as of 12:00, 3 July 2024 by ReferenceBot (talk | contribs) (‎Changed an Item)
(diff) ← Older revision | Latest revision (diff) | Newer revision → (diff)
scientific article
Language Label Description Also known as
English
Multivariate COGARCH(1, 1) processes
scientific article

    Statements

    title
    Multivariate COGARCH(1, 1) processes (English)
    0 references
    DOI
    10.3150/09-BEJ196
    0 references
    author
    Robert Stelzer
    0 references
    published in
    Bernoulli
    0 references
    publication date
    12 November 2010
    0 references
    Mathematics Subject Classification ID
    62M10
    0 references
    60G51
    0 references
    60H10
    0 references
    62E15
    0 references
    62P05
    0 references
    zbMATH DE Number
    5815965
    0 references
    zbMATH Keywords
    COGARCH
    0 references
    Lévy process
    0 references
    multivariate GARCH
    0 references
    positive definite random matrix process
    0 references
    second-order moment structure
    0 references
    stationarity
    0 references
    stochastic differential equations
    0 references
    stochastic volatility
    0 references
    variance mixture model
    0 references
    arXiv ID
    1002.4261
    0 references
    cites work
    Q5420974
    0 references
    Q5690490
    0 references
    Q4269108
    0 references
    Wishart processes
    0 references
    Q3721531
    0 references
    Q4061759
    0 references
    Matrix Analysis
    0 references
    Q4040931
    0 references
    Q4778955
    0 references
    Q5493557
    0 references
    Q3914121
    0 references
    Q4435813
    0 references
    Q4937701
    0 references
     
    Retrieved from "https://portal.mardi4nfdi.de/w/index.php?title=Item:Q605037&oldid=35200172"
    Powered by MediaWiki