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Q5493557 - MaRDI portal

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scientific article; zbMATH DE number 5066273
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English
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scientific article; zbMATH DE number 5066273

    Statements

    author
    Claudia Klüppelberg
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    Alexander M. Lindner
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    Ross A. Maller
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    publication date
    23 October 2006
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    zbMATH Keywords
    COGARCH
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    continuous time GARCH
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    generalised Ornstein-Uhlenbeck process
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    Lévy process
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    self-decomposable distribution
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    stochastic volatility model
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    tail behaviour
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    Identifiers

    Mathematics Subject Classification ID
    60H30
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    60G15
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    60H10
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    62M10
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    zbMATH DE Number
    5066273
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