kluppelberg.lindner.ea:04:continuous-time¶
BibTeX Entry:
@article{kluppelberg.lindner.ea:04:continuous-time,
author = {Kl\"{u}ppelberg, Claudia and Lindner, Alexander and Maller, Ross},
doi = {10.1017/s0021900200020428},
fjournal = {Journal of Applied Probability},
issn = {0021-9002},
journal = {J. Appl. Probab.},
mrclass = {62M10 (60G10 91B28 91B84)},
mrnumber = {2074811},
mrreviewer = {P. A. Morettin},
number = {3},
pages = {601--622},
title = {A continuous-time {GARCH} process driven by a {L}\'{e}vy process: stationarity and second-order behaviour},
url = {https://doi.org/10.1017/s0021900200020428},
volume = {41},
year = {2004}
}