MULTIVARIATE ECOGARCH PROCESSES

Stephan Haug and Robert Stelzer

Econometric Theory, 2011, vol. 27, issue 2, 344-371

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.

Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:cup:etheor:v:27:y:2011:i:02:p:344-371_00

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