Continuous-time GARCH processes

DOI10.1214/105051606000000150zbMath1127.62074arXivmath/0607109OpenAlexW2068888183MaRDI QIDQ997951

Erdenebaatar Chadraa, Peter J. Brockwell, Alexander M. Lindner

Publication date: 8 August 2007

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

Full work available at URL: https://arxiv.org/abs/math/0607109

zbMATH Keywords

stochastic volatilityCARMA processesautocorrelation structureCOGARCH processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Stationary stochastic processes (60G10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Related Items (20)

Using COGARCH-Filtered Volatility in Modelling Within ARDL Framework ⋮ Semi-Lévy driven continuous-time GARCH process ⋮ Higher Moments and Prediction‐Based Estimation for the COGARCH(1,1) Model ⋮ High-frequency sampling of a continuous-time ARMA process ⋮ Moment method estimation of first-order continuous-time bilinear processes ⋮ Geometric ergodicity of the multivariate COGARCH(1,1) process ⋮ Multivariate COGARCH(1, 1) processes ⋮ Multivariate generalized Ornstein-Uhlenbeck processes ⋮ Implementation of Lévy CARMA model in \texttt{yuima} package ⋮ Noise recovery for Lévy-driven CARMA processes and high-frequency behaviour of approximating Riemann sums ⋮ Recent results in the theory and applications of CARMA processes ⋮ A FINANCIAL MARKET OF A STOCHASTIC DELAY EQUATION ⋮ Efficiently pricing double barrier derivatives in stochastic volatility models ⋮ Functional Relationships Between Price and Volatility Jumps and Their Consequences for Discretely Observed Data ⋮ Superposition of COGARCH processes ⋮ Some computational aspects of Gaussian CARMA modelling ⋮ Econometric analysis of jump-driven stochastic volatility models ⋮ Aspects of prediction ⋮ Indirect inference for time series using the empirical characteristic function and control variates ⋮ Stochastic interest rate volatility modeling with a continuous-time GARCH(1,1) model

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