An Exponential Continuous-Time GARCH Process
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Publication:5448745
DOI10.1239/jap/1197908817zbMath1132.60308WikidataQ59278118 ScholiaQ59278118MaRDI QIDQ5448745
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
stochastic volatility; stationarity; Lévy process; leverage effect; EGARCH; exponential continuous-time GARCH process
60G10: Stationary stochastic processes
60G12: General second-order stochastic processes
91B84: Economic time series analysis
91B70: Stochastic models in economics