An Exponential Continuous-Time GARCH Process
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(12)- First jump approximation of a Lévy-driven SDE and an application to multivariate ECOGARCH processes
- Noise recovery for Lévy-driven CARMA processes and high-frequency behaviour of approximating Riemann sums
- Volatility activity: specification and estimation
- High-frequency sampling of a continuous-time ARMA process
- MULTIVARIATE ECOGARCH PROCESSES
- V-uniform ergodicity of a continuous time asymmetric power GARCH(1,1) model
- A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour
- GARCH with omitted persistent covariate
- Functional relationships between price and volatility jumps and their consequences for discretely observed data
- Volatility asymmetry in functional threshold GARCH model
- On the exponential process associated with a CARMA-type process
- Exponential realized Garch-Itô volatility models
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