| Haug, Stephan and Czado, Claudia (2006): An exponential continuous time GARCH process. Collaborative Research Center 386, Discussion Paper 480 |
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577Kb |
Abstract
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.
| Item Type: | Paper (Research Paper) |
|---|---|
| Collections: | Mathematics, Computer Science and Statistics > Statistics > Collaborative Research Center 386 Special Research Fields > Special Research Field 386 |
| Subjects: | 500 Science > 510 Mathematics |
| URN: | urn:nbn:de:bvb:19-epub-1848-4 |
| ID Code: | 1848 |
| Deposited On: | 11. Apr 2007 |
| Last Modified: | 08. Jan 2013 15:56 |
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