Superposition of COGARCH processes
Year of publication: |
2015
|
---|---|
Authors: | Behme, Anita ; Chong, Carsten ; Klüppelberg, Claudia |
Published in: |
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 125.2015, 4, p. 1426-1469
|
Publisher: |
Elsevier |
Subject: | COGARCH | Continuous-time GARCH model | Independently scattered | Infinite divisibility | Lévy basis | Lévy process | Random measure | Stationarity | Stochastic volatility process | Sup-CO-GARCH | Superposition |
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