Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/31030
Authors: 
Haug, Stephan
Czado, Claudia
Year of Publication: 
2006
Series/Report no.: 
Discussion paper // Sonderforschungsbereich 386 der Ludwig-Maximilians-Universität München 480
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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