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MULTIVARIATE ECOGARCHPROCESSES

Published online by Cambridge University Press:  13 September 2010

Stephan Haug  and
Robert Stelzer
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Abstract

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A multivariate extension of the exponential continuoustime GARCH (p, q)model (ECOGARCH) is introduced and studied.Stationarity and mixing properties of the newstochastic volatility model are investigated, andways to model a component-wise leverage effect arepresented.

Information

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

Footnotes

The authors are grateful to the editor and twoanonymous referees for their very good commentsand also to Claudia Klüppelberg and Jean Jacod fortheir helpful remarks on a draft of this paper.The second author acknowledges financial supportfrom the Deutsche Forschungsgemeinschaft throughthe graduate program Angewandte AlgorithmischeMathematik at the Technische Universität Münchenduring the initial work on the contents of thispaper.

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