Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/31106
Authors: 
Klüppelberg, Claudia
Lindner, Alexander M.
Maller, Ross
Year of Publication: 
2005
Series/Report no.: 
Discussion paper // Sonderforschungsbereich 386 der Ludwig-Maximilians-Universität München 426
Abstract: 
We compare the probabilistic properties of the non-Gaussian Ornstein-Uhlenbeck based stochastic volatility model of Barndorff-Nielsen and Shephard (2001) with those of the COGARCH process. The latter is a continuous time GARCH process introduced by the authors (2004). Many features are shown to be shared by both processes, but differences are pointed out as well. Furthermore, it is shown that the COGARCH process has Pareto like tails under weak regularity conditions.
Subjects: 
COGARCH
continuous time GARCH
GARCH
generalised Ornstein-Uhlenbeck process
L_evy process
self-decomposable distribution
stochastic volatility model
tail behaviour
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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