Add to ORKGA multivariate extension of the exponential continuous time GARCH ( p, q ) model (ECOGARCH) is introduced and studied. Stationarity and mixing properties of the new stochastic volatility model are investigated, and ways to model a component-wise leverage effect are presented.
This paper discusses the effects of temporal aggregation on causality and forecasting in multivariat...
A family of parametric GARCH models, defined in terms of an auxiliary process and referred to as the...
markdownabstract__Abstract__ Of the two most widely estimated univariate asymmetric conditional v...
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...
Summary. We compare the probabilistic properties of the non-Gaussian Ornstein-Uhlenbeck based stocha...
In this paper we introduce a fractionally integrated exponential continuous time GARCH(p, d, q) proc...
The exponential continuous time GARCH(p, q) model for financial assets suggested by Haug and Czado (...
In this paper we introduce a fractionally integrated exponential continuous time GARCH(p,d,q) proces...
This thesis deals with the formulation and estimation of the multivariate GARCH model. It mentions t...
The paper considers a volatility model that includes a persistent, integrated or nearly integrated, ...
This paper derives results for the temporal aggregation of multivariate GARCH(1,1) processes in the ...
We propose a family of multivariate Gaussian process models for correlated out-puts, based on assumi...
The importance of modelling comovements of financial returns is well established in the literature. ...
This paper discusses the effects of temporal aggregation on causality and forecasting in multivariat...
A family of parametric GARCH models, defined in terms of an auxiliary process and referred to as the...
markdownabstract__Abstract__ Of the two most widely estimated univariate asymmetric conditional v...
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...
Summary. We compare the probabilistic properties of the non-Gaussian Ornstein-Uhlenbeck based stocha...
In this paper we introduce a fractionally integrated exponential continuous time GARCH(p, d, q) proc...
The exponential continuous time GARCH(p, q) model for financial assets suggested by Haug and Czado (...
In this paper we introduce a fractionally integrated exponential continuous time GARCH(p,d,q) proces...
This thesis deals with the formulation and estimation of the multivariate GARCH model. It mentions t...
The paper considers a volatility model that includes a persistent, integrated or nearly integrated, ...
This paper derives results for the temporal aggregation of multivariate GARCH(1,1) processes in the ...
We propose a family of multivariate Gaussian process models for correlated out-puts, based on assumi...
The importance of modelling comovements of financial returns is well established in the literature. ...
This paper discusses the effects of temporal aggregation on causality and forecasting in multivariat...
A family of parametric GARCH models, defined in terms of an auxiliary process and referred to as the...
markdownabstract__Abstract__ Of the two most widely estimated univariate asymmetric conditional v...