A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour

DOI10.1239/jap/1091543413zbMath1068.62093WikidataQ55952366 ScholiaQ55952366MaRDI QIDQ4667987

Alexander M. Lindner, Claudia Klüppelberg, Ross A. Maller

Publication date: 18 April 2005

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

Full work available at URL: https://epub.ub.uni-muenchen.de/1794/

zbMATH Keywords

stability; stationarity; Lévy process; perpetuities; GARCH model; ARCH model; conditional heteroscedasticity; stochastic integratio

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62P05: Applications of statistics to actuarial sciences and financial mathematics

60G10: Stationary stochastic processes

60J25: Continuous-time Markov processes on general state spaces

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

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