Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/31030 
Year of Publication: 
2006
Series/Report no.: 
Discussion Paper No. 480
Publisher: 
Ludwig-Maximilians-Universität München, Sonderforschungsbereich 386 - Statistische Analyse diskreter Strukturen, München
Abstract: 
In this paper we introduce an exponential continuous time GARCH(p, q) process. It is defined in such a way that it is a continuous time extension of the discrete time EGARCH(p, q) process. We investigate stationarity and moment properties of the new model. An instantaneous leverage effect can be shown for the exponential continuous time GARCH(p, p) model.
Subjects: 
exponential continuous time GARCH process
EGARCH
Lévy process
stationarity
stochastic volatility
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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