Fractionally integrated COGARCH processes

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Bibliographische Detailangaben
Veröffentlicht in:Journal of financial econometrics
1. Verfasser: Haug, Stephan (VerfasserIn)
Weitere Verfasser: Klüppelberg, Claudia (VerfasserIn), Straub, German (VerfasserIn)
Format: UnknownFormat
Sprache:eng
Veröffentlicht: 2018
Schlagworte:
FICOGARCH > fractionally integrated COGARCH > fractional subordinator > Lévy process > long-range dependence > stationarity > stochastic volatility modeling > Aufsatz in Zeitschrift
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