First jump approximation of a Lévy-driven SDE and an application to multivariate ECOGARCH processes
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References listed on IDEAS
- Rubenthaler, Sylvain, 2003. "Numerical simulation of the solution of a stochastic differential equation driven by a Lévy process," Stochastic Processes and their Applications, Elsevier, pages 311-349.
- Szimayer, Alex & Maller, Ross A., 2007. "Finite approximation schemes for Lévy processes, and their application to optimal stopping problems," Stochastic Processes and their Applications, Elsevier, pages 1422-1447.
- Ross A. Maller & Gernot Muller & Alex Szimayer, 2008. "GARCH modelling in continuous time for irregularly spaced time series data," Papers 0805.2096, arXiv.org.
- Kawakatsu, Hiroyuki, 2006. "Matrix exponential GARCH," Journal of Econometrics, Elsevier, pages 95-128.
More about this item
KeywordsFirst jump approximation Lévy process Multivariate exponential COGARCH Skorokhod topology Stochastic differential equation Uniform tightness Uniformly controlled variations;
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