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A Continuous-Time GARCH Process Driven by a Lévy Process: Stationarity and Second-Order Behaviour

A Continuous-Time GARCH Process Driven by a Lévy Process: Stationarity and Second-Order Behaviour

Claudia Klüppelberg, Alexander Lindner and Ross Maller
  • 期刊名称Journal of Applied Probability
  • 作者Claudia Klüppelberg, Alexander Lindner and Ross Maller
  • 卷第41卷
  • 期第3期
  • 印刷ISSN0021-9002
  • 文件大小523.05KB
  • 发表时间2004-09
  • DOI10.2307/4141341
  • 页码601-622
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