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Haug, Stephan and Czado, Claudia (2006): An exponential continuous time GARCH process. Collaborative Research Center 386, Discussion Paper 480
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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.