A class of continuous-time garch-type processes

DOI10.1080/17442509908834180zbMATH Open0921.60042OpenAlexW2141609047MaRDI QIDQ4238142FDOQ4238142

Authors:

Publication date: 29 September 1999

Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442509908834180

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zbMATH Keywords

stationary incrementsGARCH and Lévy processespast dependence

Mathematics Subject Classification ID

Stochastic integrals (60H05)

Cited In (5)

• Title not available (Why is that?)
• An Exponential Continuous-Time GARCH Process
• Title not available (Why is that?)
• A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour
• Reconsidering the continuous time limit of the GARCH(1,1) process

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