Stationarity and second order behaviour of discrete and continuous time GARCH(1,1) processes
Year of publication: |
2003
|
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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: | ARCH and GARCH models | stability | stationarity | conditional heteroscedasticity | perpetuities | stochastic integration | Lévy processes |
Series: | Discussion Paper ; 337 |
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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.1715 [DOI] 483869163 [GVK] hdl:10419/31082 [Handle] |
Source: |
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