Semi-Lévy driven continuous-time GARCH process

DOI10.1016/j.physa.2020.124855OpenAlexW3037644394MaRDI QIDQ2141451

Yanyan Li

Publication date: 25 May 2022

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1812.10777

zbMATH Keywords

stochastic volatilityperiodically correlated processsemi-Lévy processcontinuous-time GARCH process

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Uses Software

• itsmr
• YUIMA
• ITSM2000

Cites Work

• Unnamed Item
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• Periodically Correlated Random Sequences
• Method of moment estimation in the COGARCH(1,1) model