MULTIVARIATE ECOGARCH PROCESSES

DOI10.1017/S0266466610000289zbMath1210.62119WikidataQ59278110 ScholiaQ59278110MaRDI QIDQ3168874

Robert Stelzer, Stephan Haug

Publication date: 27 April 2011

Published in: Econometric Theory (Search for Journal in Brave)

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)

Related Items (1)

First jump approximation of a Lévy-driven SDE and an application to multivariate ECOGARCH processes

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Matrix exponential GARCH
• Multivariate COGARCH(1, 1) processes
• Multivariate CARMA processes
• GARCH modelling in continuous time for irregularly spaced time series data
• First jump approximation of a Lévy-driven SDE and an application to multivariate ECOGARCH processes
• Time series: theory and methods.
• Genetic modelling of multivariate EGARCHX-processes: evidence on the international asset return signal response mechanism
• Generalized autoregressive conditional heteroscedasticity
• Existence and uniqueness of stationary Lévy-driven CARMA processes
• ARCH models as diffusion approximations
• Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
• The Matrix-Logarithmic Covariance Model
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• A MULTIVARIATE VARIANCE GAMMA MODEL FOR FINANCIAL APPLICATIONS
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Mixing Conditions for Markov Chains
• A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour
• Lévy Processes and Stochastic Calculus
• An Exponential Continuous-Time GARCH Process
• Continuous Time Wishart Process for Stochastic Risk

This page was built for publication: MULTIVARIATE ECOGARCH PROCESSES