Geometric ergodicity of asymmetric volatility models with stochastic parameters

DOI10.1214/EJP.V18-1871zbMATH Open1291.60145MaRDI QIDQ388985FDOQ388985

Authors: Neelabh Rohan, T. V. Ramanathan 

Publication date: 17 January 2014

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Recommendations

• On generalised asymmetric stochastic volatility models
• Geometric ergodicity of GARCH models with random delays
• Asymptotics for Rough Stochastic Volatility Models
• scientific article; zbMATH DE number 5209814
• Asymptotic approximations to deterministic and stochastic volatility models
• scientific article; zbMATH DE number 1223766
• General theory of geometric Lévy models for dynamic asset pricing
• A geometric method for asymptotic properties of the stochastic Lotka-Volterra model
• On asymmetric generalised t stochastic volatility models
• Asymptotics for multifactor Volterra type stochastic volatility models

zbMATH Keywords

stationarityirreducibilitygeometric ergodicityasymmetric volatility modelsstochastic parameter GARCH model

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Discrete-time Markov processes on general state spaces (60J05)

Cited In (3)

• On geometric ergodicity of skewed-SVCHARME models
• Title not available (Why is that?)
• Asymptotics for a bidimensional risk model with two geometric Lévy price processes

This page was built for publication: Geometric ergodicity of asymmetric volatility models with stochastic parameters

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q388985)