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
We suggest moment estimators for the parameters of a continuous time GARCH(1,1) process based on eq...
In this paper we introduce a fractionally integrated exponential continuous time GARCH(p, d, q) proc...
The discrete-time GARCH methodology which hits had such a profound influence on the modelling of het...
In this paper we introduce an exponential continuous time GARCH(p,q) process. It is defined in such ...
In this paper we introduce an exponential continuous time GARCH(p, q) process. It is defined in such...
In this paper we introduce an exponential continuous time GARCH(p, q) process. It is defined in suc...
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...
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 (...
A multivariate extension of the exponential continuous time GARCH ( p, q ) model (ECOGARCH) is intro...
We compare the probabilistic properties of the non-Gaussian Ornstein-Uhlenbeck based stochastic vola...
We suggest moment estimators for the parameters of a continuous time GARCH(1,1) process based on eq...
In this paper we introduce a fractionally integrated exponential continuous time GARCH(p, d, q) proc...
The discrete-time GARCH methodology which hits had such a profound influence on the modelling of het...
In this paper we introduce an exponential continuous time GARCH(p,q) process. It is defined in such ...
In this paper we introduce an exponential continuous time GARCH(p, q) process. It is defined in such...
In this paper we introduce an exponential continuous time GARCH(p, q) process. It is defined in suc...
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...
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 (...
A multivariate extension of the exponential continuous time GARCH ( p, q ) model (ECOGARCH) is intro...
We compare the probabilistic properties of the non-Gaussian Ornstein-Uhlenbeck based stochastic vola...
We suggest moment estimators for the parameters of a continuous time GARCH(1,1) process based on eq...
In this paper we introduce a fractionally integrated exponential continuous time GARCH(p, d, q) proc...
The discrete-time GARCH methodology which hits had such a profound influence on the modelling of het...
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