A continuous-time GARCH process driven by a levy process: Stationarity and second-order behaviour

Claudia Klüppelberg, Alexander Lindner, Ross Maller

Publikation: Beitrag in FachzeitschriftArtikelBegutachtung

138 Zitate (Scopus)

Abstract

We use a discrete-time analysis, giving necessary and sufficient conditions for the almost-sure convergence of ARCH(1) and GARCH(1, 1) discrete-time models, to suggest an extension of the ARCH and GARCH concepts to continuous-time processes. Our 'COGARCH' (continuous-time GARCH) model, based on a single background driving Lévy process, is different from, though related to, other continuous-time stochastic volatility models that have been proposed. The model generalises the essential features of discrete-time GARCH processes, and is amenable to further analysis, possessing useful Markovian and stationarity properties.

OriginalspracheEnglisch
Seiten (von - bis)601-622
Seitenumfang22
FachzeitschriftJournal of Applied Probability
Jahrgang41
Ausgabenummer3
DOIs
PublikationsstatusVeröffentlicht - Sept. 2004

Fingerprint

Untersuchen Sie die Forschungsthemen von „A continuous-time GARCH process driven by a levy process: Stationarity and second-order behaviour“. Zusammen bilden sie einen einzigartigen Fingerprint.

Dieses zitieren