Stochastic interest rate volatility modeling with a continuous-time GARCH(1,1) model

DOI10.1016/j.cam.2013.10.017zbMath1314.91221OpenAlexW2036371399MaRDI QIDQ2349619

Gazanfer Ünal, Selçuk Bayracı

Publication date: 17 June 2015

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2013.10.017

zbMATH Keywords

GARCHLévy processCOGARCHinterest rate volatilityindirect inference methodNIG process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (1)

Geometric ergodicity of the multivariate COGARCH(1,1) process

Cites Work

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• A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour
• An equilibrium characterization of the term structure
• Method of moment estimation in the COGARCH(1,1) model
• Estimating stochastic volatility models through indirect inference

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