Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: http://hdl.handle.net/10419/31106
Autoren: 
Klüppelberg, Claudia
Lindner, Alexander M.
Maller, Ross
Datum: 
2005
Reihe/Nr.: 
Discussion Paper 426
Zusammenfassung: 
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.
Schlagwörter: 
COGARCH
continuous time GARCH
GARCH
generalised Ornstein-Uhlenbeck process
L_evy process
self-decomposable distribution
stochastic volatility model
tail behaviour
Persistent Identifier der Erstveröffentlichung: 
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
291.18 kB





Publikationen in EconStor sind urheberrechtlich geschützt.