Multivariate ecogarch processes

Stephan Haug; Robert Stelzer

doi:10.1017/S0266466610000289

Multivariate ecogarch processes

Stephan Haug, Robert Stelzer

Chair of Mathematical Statistics

Technical University of Munich

Research output: Contribution to journal › Article › peer-review

Abstract

A multivariate extension of the exponential continuous time GARCH (p, q) model (ECOGARCH) is introduced and studied. Stationarity and mixing properties of the new stochastic volatility model are investigated, and ways to model a component-wise leverage effect are presented.

Original language	English
Pages (from-to)	344-371
Number of pages	28
Journal	Econometric Theory
Volume	27
Issue number	2
DOIs	https://doi.org/10.1017/S0266466610000289
State	Published - Apr 2011

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title = "Multivariate ecogarch processes",

abstract = "A multivariate extension of the exponential continuous time GARCH (p, q) model (ECOGARCH) is introduced and studied. Stationarity and mixing properties of the new stochastic volatility model are investigated, and ways to model a component-wise leverage effect are presented.",

author = "Stephan Haug and Robert Stelzer",

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Multivariate ecogarch processes

Abstract

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