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Number of items: 6.
Paper
Klüppelberg, Claudia; Lindner, Alexander M. und Maller, R. A.
(2005):
A Continuous Time GARCH Process Driven by a Lévy Process: Stationarity and Second Order Behaviour.
Collaborative Research Center 386, Discussion Paper 425
[PDF, 550kB]
Klüppelberg, Claudia; Lindner, Alexander M. und Maller, R. A.
(2005):
Continuous time volatility modelling: COGARCH versus Ornstein-Uhlenbeck models.
Collaborative Research Center 386, Discussion Paper 426
[PDF, 387kB]
Brockwell, Peter J.; Chadraa, Erdenebaatar und Lindner, Alexander M.
(2005):
A Continuous Time GARCH Process of Higher Order.
Collaborative Research Center 386, Discussion Paper 428
[PDF, 557kB]
Lindner, Alexander M. und Szimayer, Alexander
(2005):
A Limit Theorem for Copulas.
Collaborative Research Center 386, Discussion Paper 433
[PDF, 251kB]
Barndorff-Nielsen, Ole Eiler und Lindner, Alexander M.
(2004):
Some aspects of Lévy copulas.
Collaborative Research Center 386, Discussion Paper 388
[PDF, 454kB]
Klüppelberg, Claudia; Lindner, Alexander M. und Maller, R. A.
(2003):
Stationarity and second order behaviour of discrete and continuous time GARCH(1,1) processes.
Collaborative Research Center 386, Discussion Paper 337
[PDF, 673kB]