Haug, Stephan; Czado, Claudia - 2006
In this paper we introduce an exponential continuous time GARCH(p, q) process. It is defined in such a way that it is a … continuous time extension of the discrete time EGARCH(p, q) process. We investigate stationarity and moment properties of the new … model. An instantaneous leverage effect can be shown for the exponential continuous time GARCH(p, p) model. …