Pages that link to "Item:Q4667987"
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The following pages link to A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour (Q4667987):
Displayed 26 items.
- Limit experiments of GARCH (Q408085) (← links)
- Asymptotic inference of unstable periodic ARCH processes (Q411545) (← links)
- Multivariate generalized Ornstein-Uhlenbeck processes (Q424483) (← links)
- V-uniform ergodicity of a continuous time asymmetric power GARCH(1,1) model (Q434725) (← links)
- Moments of MGOU processes and positive semidefinite matrix processes (Q444969) (← links)
- Modeling high-frequency financial data by pure jump processes (Q447825) (← links)
- Realized Laplace transforms for pure-jump semimartingales (Q447866) (← links)
- Limit theorems for power variations of pure-jump processes with application to activity estima\-tion (Q535202) (← links)
- Asymptotic results for sample autocovariance functions and extremes of integrated generalized Ornstein-Uhlenbeck processes (Q605036) (← links)
- Multivariate COGARCH(1, 1) processes (Q605037) (← links)
- Stationary solutions of the stochastic differential equation \(dV_t = V_t -dU_t + dL_t\) with Lévy noise (Q617912) (← links)
- High-level dependence in time series models (Q650680) (← links)
- A new formula for some linear stochastic equations with applications (Q968770) (← links)
- Continuous-time GARCH processes (Q997951) (← links)
- COGARCH as a continuous-time limit of GARCH(1,1) (Q1001841) (← links)
- GARCH modelling in continuous time for irregularly spaced time series data (Q1002568) (← links)
- First jump approximation of a Lévy-driven SDE and an application to multivariate ECOGARCH processes (Q1019617) (← links)
- Exact conditions for no ruin for the generalised Ornstein-Uhlenbeck process (Q2270883) (← links)
- The \(L^2\)-structures of standard and switching-regime GARCH models (Q2567232) (← links)
- Lévy integrals and the stationarity of generalised Ornstein-Uhlenbeck processes (Q2568302) (← links)
- Likelihood estimation of Lévy‐driven stochastic volatility models through realized variance measures (Q3018503) (← links)
- MULTIVARIATE ECOGARCH PROCESSES (Q3168874) (← links)
- MIXING PROPERTIES OF A GENERAL CLASS OF GARCH(1,1) MODELS WITHOUT MOMENT ASSUMPTIONS ON THE OBSERVED PROCESS (Q3408521) (← links)
- A Functional Central Limit Theorem for the Realized Power Variation of Integrated Stable Processes (Q3423702) (← links)
- Method of moment estimation in the COGARCH(1,1) model (Q5427673) (← links)
- A Note on Non-Negative Continuous Time Processes (Q5473056) (← links)