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A continuous time asymmetric power GARCH process driven by a L$\vy process  

Lee, Oe-Sook (Department of Statistics, Ewha Womans University)
Publication Information
Journal of the Korean Data and Information Science Society / v.21, no.6, 2010 , pp. 1311-1317 More about this Journal
Abstract
A continuous time asymmetric power GARCH(1,1) model is suggested, based on a single background driving L$\vy process. The stochastic differential equation for the given process is derived and the strict stationarity and kth order moment conditions are examined.
Keywords
COGARCH(1,1) process; continuous time asymmetric power GARCH(1,1) process; L$\vy process; stationarity; stochastic differential equation;
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Times Cited By KSCI : 2  (Citation Analysis)
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