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