Fractionally integrated COGARCH processes
Stephan Haug, Claudia Klüppelberg and German Straub
| Year of publication: |
2018
|
|---|---|
| Authors: | Haug, Stephan ; Klüppelberg, Claudia ; Straub, German |
| Published in: |
Journal of financial econometrics : official journal of the Society for Financial Econometrics. - Oxford : Univ. Press, ISSN 1479-8409, ZDB-ID 2160581-6. - Vol. 16.2018, 4, p. 599-628
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| Subject: | FICOGARCH | fractionally integrated COGARCH | fractional subordinator | Lévy process | long-range dependence | stationarity | stochastic volatility modeling | Stochastischer Prozess | Stochastic process | Zeitreihenanalyse | Time series analysis | Volatilität | Volatility | Theorie | Theory | ARCH-Modell | ARCH model | ARMA-Modell | ARMA model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nby020 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011988000