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
2004ANU Authors
Field of Research
- Stochastic Analysis And Modelling