COGARCH as a continuous-time limit of GARCH(1,1)

DOI10.1016/j.spa.2007.12.008zbMath1172.62025OpenAlexW2005550302MaRDI QIDQ1001841

Bernhard Vesenmayer, Jan Kallsen

Publication date: 19 February 2009

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://macau.uni-kiel.de/receive/publ_mods_00000338

zbMATH Keywords

generators

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Continuous-time Markov processes on general state spaces (60J25) Economic time series analysis (91B84) Functional limit theorems; invariance principles (60F17)

Related Items (5)

Higher Moments and Prediction‐Based Estimation for the COGARCH(1,1) Model ⋮ Limit experiments of GARCH ⋮ V-uniform ergodicity of a continuous time asymmetric power GARCH(1,1) model ⋮ GARCH modelling in continuous time for irregularly spaced time series data ⋮ The continuous limit of weak GARCH

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• Limits of compound and thinned point processes
• A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour

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