In this paper we introduce an exponential continuous time GARCH(p, q) process. It is defined in such a way that it is a continuous time extension of the discrete time EGARCH(p, q) process. We investigate stationarity and moment properties of the new model. An instantaneous leverage effect can be shown for the exponential continuous time GARCH(p, p) model
This paper investigates some structural properties of a family of GARCH processes. A simple sufficie...
1. Why processes in continuous time? 2. The GARCH diffusion limit of Nelson 3. The COGARCH process: ...
A family of parametric GARCH models, defined in terms of an auxiliary process and referred to as the...
In this paper we introduce an exponential continuous time GARCH(p, q) process. It is defined in suc...
In this paper we introduce an exponential continuous time GARCH(p,q) process. It is defined in such ...
In this paper we introduce a fractionally integrated exponential continuous time GARCH(p, d, q) proc...
A multivariate extension of the exponential continuous time GARCH ( p, q ) model (ECOGARCH) is intro...
In this note we reconsider the continuous time limit of the GARCH(1, 1) process. Let k and p
We use a discrete time analysis, giving necessary and sufficient conditions for the almost sure conv...
The exponential continuous time GARCH(p, q) model for financial assets suggested by Haug and Czado (...
AbstractCOGARCH is an extension of the GARCH time series concept to continuous time, which has been ...
In this paper we introduce a fractionally integrated exponential continuous time GARCH(p,d,q) proces...
A continuous time GARCH model of order (p,q) is introduced, which is driven by a single Lévy process...
The discrete-time GARCH methodology which hits had such a profound influence on the modelling of het...
We give necessary and sucient conditions for the almost sure convergence of ARCH(1) and GARCH(1,1) d...
This paper investigates some structural properties of a family of GARCH processes. A simple sufficie...
1. Why processes in continuous time? 2. The GARCH diffusion limit of Nelson 3. The COGARCH process: ...
A family of parametric GARCH models, defined in terms of an auxiliary process and referred to as the...
In this paper we introduce an exponential continuous time GARCH(p, q) process. It is defined in suc...
In this paper we introduce an exponential continuous time GARCH(p,q) process. It is defined in such ...
In this paper we introduce a fractionally integrated exponential continuous time GARCH(p, d, q) proc...
A multivariate extension of the exponential continuous time GARCH ( p, q ) model (ECOGARCH) is intro...
In this note we reconsider the continuous time limit of the GARCH(1, 1) process. Let k and p
We use a discrete time analysis, giving necessary and sufficient conditions for the almost sure conv...
The exponential continuous time GARCH(p, q) model for financial assets suggested by Haug and Czado (...
AbstractCOGARCH is an extension of the GARCH time series concept to continuous time, which has been ...
In this paper we introduce a fractionally integrated exponential continuous time GARCH(p,d,q) proces...
A continuous time GARCH model of order (p,q) is introduced, which is driven by a single Lévy process...
The discrete-time GARCH methodology which hits had such a profound influence on the modelling of het...
We give necessary and sucient conditions for the almost sure convergence of ARCH(1) and GARCH(1,1) d...
This paper investigates some structural properties of a family of GARCH processes. A simple sufficie...
1. Why processes in continuous time? 2. The GARCH diffusion limit of Nelson 3. The COGARCH process: ...
A family of parametric GARCH models, defined in terms of an auxiliary process and referred to as the...
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