An exponential continuous time GARCH process
Beschreibung
vor 18 Jahren
In this paper we introduce an exponential continuous time
GARCH(p,q) process. It is defined in such a way that it is a
continuous time extension of the discrete time EGARCH(p,q) process.
We investigate stationarity and moment properties of the new model.
An instantaneous leverage effect can be shown for the exponential
continuous time GARCH(p,p) model.
GARCH(p,q) process. It is defined in such a way that it is a
continuous time extension of the discrete time EGARCH(p,q) process.
We investigate stationarity and moment properties of the new model.
An instantaneous leverage effect can be shown for the exponential
continuous time GARCH(p,p) model.
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