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Activity Number:
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79
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Type:
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Invited
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Date/Time:
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Monday, August 4, 2008 : 8:30 AM to 10:20 AM
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Sponsor:
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Business and Economics Statistics Section
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| Abstract - #300056 |
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Title:
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A Levy-Driven, Continuous-Time GARCH Process
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Author(s):
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Alexander Lindner*+
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Companies:
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TU Braunschweig
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Address:
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Institute for Mathematical Stochastics, Braunschweig, International, 38106, Germany
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Keywords:
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COGARCH ; GARCH ; Levy process
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Abstract:
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A continuous time GARCH process which is driven by a Levy process is introduced. It is shown that this process shares many features with the discrete time GARCH process. In particular, the stationary distribution has heavy tails. Extensions of this process are also discussed. We then turn attention to some first estimation methods for this process, with particular emphasis on a generalized method of moment estimator. Finally, we also report on how the continuous time GARCH process approximates discrete time GARCH processes when sampled at discrete times. The talk is based on joint work with Stephan Haug (TU Munich), Claudia Klueppelberg (TU Munich) and Ross Maller (Australian National University).
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- The address information is for the authors that have a + after their name.
- Authors who are presenting talks have a * after their name.
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