A continous-time GARCH process driven by a Levy process: stationarity and second-order behaviour
| dc.contributor.author | Kluppelberg, Claudia | |
| dc.contributor.author | Lindner, Alexander | |
| dc.contributor.author | Maller, Ross | |
| dc.date.accessioned | 2015-12-13T22:50:42Z | |
| dc.date.available | 2015-12-13T22:50:42Z | |
| dc.date.issued | 2004 | |
| dc.date.updated | 2015-12-11T10:41:56Z | |
| dc.description.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. | |
| dc.identifier.issn | 0021-9002 | |
| dc.identifier.uri | http://hdl.handle.net/1885/80909 | |
| dc.publisher | Applied Probability Trust | |
| dc.source | Journal of Applied Probability | |
| dc.subject | Keywords: ARCH model; Conditional heteroscedasticity; GARCH model; Lévy process; Perpetuities; Stability; Stationarity; Stochastic integration | |
| dc.title | A continous-time GARCH process driven by a Levy process: stationarity and second-order behaviour | |
| dc.type | Journal article | |
| local.bibliographicCitation.lastpage | 622 | |
| local.bibliographicCitation.startpage | 601 | |
| local.contributor.affiliation | Kluppelberg, Claudia, Munich University of Technology | |
| local.contributor.affiliation | Lindner, Alexander, Munich University of Technology | |
| local.contributor.affiliation | Maller, Ross, College of Business and Economics, ANU | |
| local.contributor.authoruid | Maller, Ross, u4061848 | |
| local.description.notes | Imported from ARIES | |
| local.description.refereed | Yes | |
| local.identifier.absfor | 010406 - Stochastic Analysis and Modelling | |
| local.identifier.ariespublication | MigratedxPub9214 | |
| local.identifier.citationvolume | 41 | |
| local.identifier.doi | 10.1239/jap/1091543413 | |
| local.identifier.scopusID | 2-s2.0-10244257719 | |
| local.type.status | Published Version |