Arbeitspapier
A continuous time GARCH process driven by a Levy process: stationarity and second order behaviour
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 (G)ARCH concept to continuous time processes. Our COGARCH (continuous time GARCH) model, based on a single background driving Léy 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.
- Sprache
-
Englisch
- Erschienen in
-
Series: Discussion Paper ; No. 425
- 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)
-
2005
- DOI
-
doi:10.5282/ubm/epub.1794
- Handle
- URN
-
urn:nbn:de:bvb:19-epub-1794-9
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
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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
- 2005
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