scholarly journals Semi-Lévy driven continuous-time GARCH process

2020 ◽  
Vol 557 ◽  
pp. 124855
Author(s):  
M. Mohammadi ◽  
S. Rezakhah ◽  
N. Modarresi
Keyword(s):  
Continuous Time ◽  
Garch Process

scholarly journals An Exponential Continuous-Time GARCH Process

2007 ◽  
Vol 44 (04) ◽  
pp. 960-976 ◽  
Author(s):  
Stephan Haug ◽  
Claudia Czado
Keyword(s):  
Discrete Time ◽  
Continuous Time ◽  
Leverage Effect ◽  
New Model ◽  
Time Extension ◽  
Garch Process

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, mixing, and moment properties of the new model. An instantaneous leverage effect can be shown for the exponential continuous-time GARCH(p, p) model.

scholarly journals An Exponential Continuous-Time GARCH Process

2007 ◽  
Vol 44 (4) ◽  
pp. 960-976 ◽  
Author(s):  
Stephan Haug ◽  
Claudia Czado
Keyword(s):  
Discrete Time ◽  
Continuous Time ◽  
Leverage Effect ◽  
New Model ◽  
Time Extension ◽  
Garch Process

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, mixing, and moment properties of the new model. An instantaneous leverage effect can be shown for the exponential continuous-time GARCH(p, p) model.

Heavy Tails of Discounted Aggregate Claims in the Continuous-Time Renewal Model

2007 ◽  
Vol 44 (02) ◽  
pp. 285-294 ◽  
Author(s):  
Qihe Tang
Keyword(s):  
Asymptotic Formula ◽  
Continuous Time ◽  
Heavy Tails ◽  
Tail Behavior ◽  
Renewal Model ◽  
Discounted Aggregate Claims ◽  
Aggregate Claims ◽  
Tail Asymptotic

We study the tail behavior of discounted aggregate claims in a continuous-time renewal model. For the case of Pareto-type claims, we establish a tail asymptotic formula, which holds uniformly in time.

Hierarchical Bayesian continuous time dynamic modeling.

2018 ◽  
Vol 23 (4) ◽  
pp. 774-799 ◽  
Author(s):  
Charles C. Driver ◽  
Manuel C. Voelkle
Keyword(s):  
Dynamic Modeling ◽  
Continuous Time ◽  
Hierarchical Bayesian ◽  
Time Dynamic

Continuous Time Controller Design

IEE Review ◽  
1991 ◽  
Vol 37 (6) ◽  
pp. 228
Author(s):  
Stephen Barnett
Keyword(s):  
Continuous Time ◽  
Controller Design
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