A class of continuous-time garch-type processes

DOI10.1080/17442509908834180MaRDI QIDQ4238142zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

stationary incrementsGARCH and Lévy processespast dependence

Mathematics Subject Classification ID

Stochastic integrals (60H05)

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(5)

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• An Exponential Continuous-Time GARCH Process
• scientific article; zbMATH DE number 6039561 (Why is no real title available?)
• 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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