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Semi-Lévy driven continuous-time GARCH process - MaRDI portal

Semi-Lévy driven continuous-time GARCH process (Q2141451)

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scientific article; zbMATH DE number 7531566
Language Label Description Also known as
English
Semi-Lévy driven continuous-time GARCH process
scientific article; zbMATH DE number 7531566

    Statements

    title
    Semi-Lévy driven continuous-time GARCH process (English)
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    author
    Yanyan Li
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    published in
    Physica A
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    publication date
    25 May 2022
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    zbMATH Keywords
    continuous-time GARCH process
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    periodically correlated process
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    semi-Lévy process
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    stochastic volatility
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    describes a project that uses
    ITSM2000
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    itsmr
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    YUIMA
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    Identifiers

    zbMATH DE Number
    7531566
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    OpenAlex ID
    W3037644394
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