An Exponential Continuous-Time GARCH Process

DOI10.1239/jap/1197908817zbMath1132.60308OpenAlexW2055558897WikidataQ59278118 ScholiaQ59278118MaRDI QIDQ5448745

Stephan Haug, Claudia Czado

Publication date: 7 March 2008

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

Full work available at URL: https://projecteuclid.org/euclid.jap/1197908817

zbMATH Keywords

stochastic volatilitystationarityLévy processleverage effectEGARCHexponential continuous-time GARCH process

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) General second-order stochastic processes (60G12) Economic time series analysis (91B84) Stochastic models in economics (91B70)

Related Items (9)

MULTIVARIATE ECOGARCH PROCESSES ⋮ High-frequency sampling of a continuous-time ARMA process ⋮ Volatility asymmetry in functional threshold GARCH model ⋮ V-uniform ergodicity of a continuous time asymmetric power GARCH(1,1) model ⋮ Noise recovery for Lévy-driven CARMA processes and high-frequency behaviour of approximating Riemann sums ⋮ Functional Relationships Between Price and Volatility Jumps and Their Consequences for Discretely Observed Data ⋮ On the exponential process associated with a CARMA-type process ⋮ Volatility activity: specification and estimation ⋮ First jump approximation of a Lévy-driven SDE and an application to multivariate ECOGARCH processes

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