Continuous time volatility modelling: COGARCH versus Ornstein-Uhlenbeck models
Year of publication: |
2005
|
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Authors: | Klüppelberg, Claudia ; Lindner, Alexander M. ; Maller, Ross |
Publisher: |
München : Ludwig-Maximilians-Universität München, Sonderforschungsbereich 386 - Statistische Analyse diskreter Strukturen |
Subject: | COGARCH | continuous time GARCH | GARCH | generalised Ornstein-Uhlenbeck process | L_evy process | self-decomposable distribution | stochastic volatility model | tail behaviour |
Series: | Discussion Paper ; 426 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 10.5282/ubm/epub.1795 [DOI] 48509133X [GVK] hdl:10419/31106 [Handle] |
Source: |
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