scientific article; zbMATH DE number 5066273

MaRDI QIDQ5493557zbMATH OpenFDO

Authors Claudia Klüppelberg, Alexander Lindner, Ross A. Maller

Publication date 23 October 2006

zbMATH Keywords

COGARCHcontinuous time GARCHgeneralised Ornstein-Uhlenbeck processLévy processself-decomposable distributionstochastic volatility modeltail behaviour

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(23)

• GARCH modelling in continuous time for irregularly spaced time series data
• Continuity properties and infinite divisibility of stationary distributions of some generalized Ornstein-Uhlenbeck processes
• Distributions of exponential integrals of independent increment processes related to generalized gamma convolutions
• Superposition of COGARCH processes
• Lévy integrals and the stationarity of generalised Ornstein-Uhlenbeck processes
• V-uniform ergodicity of a continuous time asymmetric power GARCH(1,1) model
• Iterated random functions and regularly varying tails
• Functional relationships between price and volatility jumps and their consequences for discretely observed data
• Scaling and multiscaling in financial series: a simple model
• Infinite dimensional Ornstein-Uhlenbeck processes driven by Lévy processes
• Multi-scaling of moments in stochastic volatility models
• Geometric ergodicity of the multivariate COGARCH(1,1) process
• Asymmetric COGARCH processes
• Aspects of prediction
• Asymptotic results for sample autocovariance functions and extremes of integrated generalized Ornstein-Uhlenbeck processes
• Multivariate COGARCH(1, 1) processes
• High-level dependence in time series models
• Exploring novel approaches for estimating fractional stochastic processes through practical applications
• Multivariate elliptic processes
• Volatility modelling in a Markov-switching environment: two Ornstein-Uhlenbeck-related approaches
• Recent developments in exponential functionals of Lévy processes
• Iterated random functions and slowly varying tails
• Continuous-time GARCH processes

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