Continuous-time GARCH processes

Annals of Applied Probability

Volumn 16, Issue 2, 2006, Pages 790-826

  Brockwell, Peter ^a,b   Chadraa, Erdenebaatar ^a,b   Lindner, Alexander ^a  

^a TECHNICAL UNIVERSITY OF MUNICH   (Germany)

^b Department of Environmental and Radiological Health Sciences   (United States)

Author keywords

Autocorrelation structure; CARMA process; COGARCH process; Continuous time GARCH process; Lyapunov exponent; Positivity; Random recurrence equation; Stationary solution; Stochastic volatility

Indexed keywords

EID: 33746880342     PISSN: 10505164     EISSN: 10505164     Source Type: Journal    
DOI: 10.1214/105051606000000150     Document Type: Article

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