Arbeitspapier
Stationarity and second order behaviour of discrete and continuous time GARCH(1,1) processes
We use a discrete time analysis, giver 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 (G)ARCH concept to continuous time processes. The models, based on a single background driving Lévy process, are different from, though related to, other continuous time stochastic volatility models that have been proposed, Our models generalise the essential features of discrete time GARCH processes, and are amenable to further analysis, possessing useful Markovian and stationarity properties.
- Sprache
-
Englisch
- Erschienen in
-
Series: Discussion Paper ; No. 337
- Thema
-
ARCH and GARCH models
stability
stationarity
conditional heteroscedasticity
perpetuities
stochastic integration
Lévy processes
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Klüppelberg, Claudia
Lindner, Alexander M.
Maller, Ross
- Ereignis
-
Veröffentlichung
- (wer)
-
Ludwig-Maximilians-Universität München, Sonderforschungsbereich 386 - Statistische Analyse diskreter Strukturen
- (wo)
-
München
- (wann)
-
2003
- DOI
-
doi:10.5282/ubm/epub.1715
- Handle
- URN
-
urn:nbn:de:bvb:19-epub-1715-6
- Letzte Aktualisierung
-
2025-03-10T11:45:03+0100
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Klüppelberg, Claudia
- Lindner, Alexander M.
- Maller, Ross
- Ludwig-Maximilians-Universität München, Sonderforschungsbereich 386 - Statistische Analyse diskreter Strukturen
Entstanden
- 2003
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