A continous-time GARCH process driven by a Levy process: stationarity and second-order behaviour

Citation

Kluppelberg, C, Lindner, A & Maller, R 2004, 'A continous-time GARCH process driven by a Levy process: stationarity and second-order behaviour', Journal of Applied Probability, vol. 41, pp. 601-622.

Year

2004

ANU Authors

Field of Research

  • Stochastic Analysis And Modelling

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