An exponential continuous-time garch process

Journal of Applied Probability

Volumn 44, Issue 4, 2007, Pages 960-976

  Haug, Stephan ^a   Czado, Claudia ^a  

^a TECHNICAL UNIVERSITY OF MUNICH   (Germany)

Author keywords

EGARCH; Exponential continuous time GARCH process; Leverage effect; Levy process; Stationarity; Stochastic volatility

Indexed keywords

EID: 38949105472     PISSN: 00219002     EISSN: None     Source Type: Journal    
DOI: 10.1239/jap/1197908817     Document Type: Article

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