A continuous-time GARCH model for stochastic volatility with delay

MaRDI QIDQ5423050zbMATH OpenFDO

Authors Yu. I. Kazmerchuk, Anatoliy Swishchuk, Jianhong Wu

Publication date 30 October 2007

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Stochastic functional-differential equations (34K50) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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