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MULTIVARIATE ECOGARCH PROCESSES

Published online by Cambridge University Press:  13 September 2010

Stephan Haug  and
Robert Stelzer
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Abstract

A multivariate extension of the exponential continuous time GARCH (p, q) model (ECOGARCH) is introduced and studied. Stationarity and mixing properties of the new stochastic volatility model are investigated, and ways to model a component-wise leverage effect are presented.

Type
Research Article
Information
Econometric Theory , Volume 27 , Issue 2 , April 2011 , pp. 344 - 371
Copyright
Copyright © Cambridge University Press 2010

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Footnotes

The authors are grateful to the editor and two anonymous referees for their very good comments and also to Claudia Klüppelberg and Jean Jacod for their helpful remarks on a draft of this paper. The second author acknowledges financial support from the Deutsche Forschungsgemeinschaft through the graduate program Angewandte Algorithmische Mathematik at the Technische Universität München during the initial work on the contents of this paper.

References

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