Pages that link to "Item:Q4667987"
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The following pages link to A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour (Q4667987):
Displaying 50 items.
- Volatility analysis with realized GARCH-Itô models (Q134810) (← links)
- Inference in nonstationary asymmetric GARCH models (Q385779) (← links)
- Limit experiments of GARCH (Q408085) (← links)
- Asymptotic inference of unstable periodic ARCH processes (Q411545) (← links)
- Multivariate generalized Ornstein-Uhlenbeck processes (Q424483) (← links)
- V-uniform ergodicity of a continuous time asymmetric power GARCH(1,1) model (Q434725) (← links)
- Moments of MGOU processes and positive semidefinite matrix processes (Q444969) (← links)
- Modeling high-frequency financial data by pure jump processes (Q447825) (← links)
- Realized Laplace transforms for pure-jump semimartingales (Q447866) (← links)
- Recent results in the theory and applications of CARMA processes (Q457274) (← links)
- Efficiently pricing double barrier derivatives in stochastic volatility models (Q488214) (← links)
- Testing for non-correlation between price and volatility jumps (Q515135) (← links)
- Limit theorems for power variations of pure-jump processes with application to activity estima\-tion (Q535202) (← links)
- Asymptotic results for sample autocovariance functions and extremes of integrated generalized Ornstein-Uhlenbeck processes (Q605036) (← links)
- Multivariate COGARCH(1, 1) processes (Q605037) (← links)
- Stationary solutions of the stochastic differential equation \(dV_t = V_t -dU_t + dL_t\) with Lévy noise (Q617912) (← links)
- High-level dependence in time series models (Q650680) (← links)
- Econometric analysis of jump-driven stochastic volatility models (Q737254) (← links)
- Statistical inference for generalized Ornstein-Uhlenbeck processes (Q887250) (← links)
- Integrability conditions for space-time stochastic integrals: theory and applications (Q888479) (← links)
- A new formula for some linear stochastic equations with applications (Q968770) (← links)
- Continuous-time GARCH processes (Q997951) (← links)
- COGARCH as a continuous-time limit of GARCH(1,1) (Q1001841) (← links)
- GARCH modelling in continuous time for irregularly spaced time series data (Q1002568) (← links)
- First jump approximation of a Lévy-driven SDE and an application to multivariate ECOGARCH processes (Q1019617) (← links)
- Nonparametric inference for the spectral measure of a bivariate pure-jump semimartingale (Q1713462) (← links)
- Multistage weighted least squares estimation of ARCH processes in the stable and unstable cases (Q1757893) (← links)
- Noise recovery for Lévy-driven CARMA processes and high-frequency behaviour of approximating Riemann sums (Q1951126) (← links)
- Continuity properties and the support of killed exponential functionals (Q1979899) (← links)
- Quadratic hedging schemes for non-Gaussian GARCH models (Q1994523) (← links)
- Frequency-domain estimation of continuous-time bilinear processes (Q2063073) (← links)
- Asymptotic normality of the MLE in the level-effect ARCH model (Q2066488) (← links)
- Markov-modulated generalized Ornstein-Uhlenbeck processes and an application in risk theory (Q2137021) (← links)
- Semi-Lévy driven continuous-time GARCH process (Q2141451) (← links)
- Daily nonparametric ARCH(1) model estimation using intraday high frequency data (Q2144835) (← links)
- Option pricing under a discrete-time Markov switching stochastic volatility with co-jump model (Q2170294) (← links)
- Cut-off phenomenon for Ornstein-Uhlenbeck processes driven by Lévy processes (Q2184573) (← links)
- Exponential functionals of Markov additive processes (Q2184596) (← links)
- Superposition of COGARCH processes (Q2258831) (← links)
- Estimation and strict stationarity testing of ARCH processes based on weighted least squares (Q2261914) (← links)
- Exact conditions for no ruin for the generalised Ornstein-Uhlenbeck process (Q2270883) (← links)
- The fourth characteristic of a semimartingale (Q2278675) (← links)
- A local stable bootstrap for power variations of pure-jump semimartingales and activity index estimation (Q2294509) (← links)
- Numerical algorithms for mean exit time and escape probability of stochastic systems with asymmetric Lévy motion (Q2335686) (← links)
- Stochastic interest rate volatility modeling with a continuous-time GARCH(1,1) model (Q2349619) (← links)
- Generalization of the Blumenthal-Getoor index to the class of homogeneous diffusions with jumps and some applications (Q2435232) (← links)
- Power variation from second order differences for pure jump semimartingales (Q2447655) (← links)
- Jump activity estimation for pure-jump semimartingales via self-normalized statistics (Q2515498) (← links)
- The \(L^2\)-structures of standard and switching-regime GARCH models (Q2567232) (← links)
- Lévy integrals and the stationarity of generalised Ornstein-Uhlenbeck processes (Q2568302) (← links)
