MULTIVARIATE ECOGARCH PROCESSES

DOI10.1017/S0266466610000289MaRDI QIDQ3168874zbMATH OpenWikidataFDO

Authors Stephan Haug, Robert Stelzer

Publication date 27 April 2011

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/S0266466610000289

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)

Recommendations

• scientific article; zbMATH DE number 4005243
• Multivariate COGARCH(1, 1) processes
• Multivariate CARMA processes
• Multivariate modelling of the autoregressive random variance process
• Multivariate supOU processes
• scientific article; zbMATH DE number 5582822
• Multivariate generalized Ornstein-Uhlenbeck processes
• Multivariate stochastic process models for correlated responses of mixed type
• Multivariate elliptically contoured autoregressive process

Cites work

• A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour
• A MULTIVARIATE VARIANCE GAMMA MODEL FOR FINANCIAL APPLICATIONS
• An Exponential Continuous-Time GARCH Process
• ARCH models as diffusion approximations
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Continuous Time Wishart Process for Stochastic Risk
• Existence and uniqueness of stationary Lévy-driven CARMA processes
• First jump approximation of a Lévy-driven SDE and an application to multivariate ECOGARCH processes
• GARCH modelling in continuous time for irregularly spaced time series data
• Generalized autoregressive conditional heteroscedasticity
• Genetic modelling of multivariate EGARCHX-processes: evidence on the international asset return signal response mechanism
• scientific article; zbMATH DE number 194139 (Why is no real title available?)
• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• scientific article; zbMATH DE number 967931 (Why is no real title available?)
• Lévy Processes and Stochastic Calculus
• Matrix exponential GARCH
• Mixing Conditions for Markov Chains
• Multivariate CARMA processes
• Multivariate COGARCH(1, 1) processes
• Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
• The Matrix-Logarithmic Covariance Model
• Time series: theory and methods.

Cited in

(3)

• First jump approximation of a Lévy-driven SDE and an application to multivariate ECOGARCH processes
• Matrix exponential GARCH
• Multivariate COGARCH(1, 1) processes

This page was built for publication: MULTIVARIATE ECOGARCH PROCESSES

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3168874)