Journal article
A note on the non-negativity of continuous-time ARMA and GARCH processes
Statistics and computing, Vol.19(2), pp.149-153
06/01/2009
DOI: 10.1007/s11222-008-9078-7
Abstract
A general approach for modeling the volatility process in continuous-time is based on the convolution of a kernel with a non-decreasing L,vy process, which is non-negative if the kernel is non-negative. Within the framework of Continuous-time Auto-Regressive Moving-Average (CARMA) processes, we derive a necessary condition for the kernel to be non-negative, and propose a numerical method for checking the non-negativity of a kernel function. These results can be lifted to solving a similar problem with another approach to modeling volatility via the COntinuous-time Generalized Auto-Regressive Conditional Heteroscedastic (COGARCH) processes.
Details
- Title: Subtitle
- A note on the non-negativity of continuous-time ARMA and GARCH processes
- Creators
- Henghsiu Tsai - Academia SinicaKung-Sik Chan - University of Iowa
- Resource Type
- Journal article
- Publication Details
- Statistics and computing, Vol.19(2), pp.149-153
- Publisher
- SPRINGER
- DOI
- 10.1007/s11222-008-9078-7
- ISSN
- 0960-3174
- eISSN
- 1573-1375
- Number of pages
- 5
- Grant note
- DMS-0405267 / National Science Foundation NSC 94-2118-M-001-015 / National Science Council
- Language
- English
- Date published
- 06/01/2009
- Academic Unit
- Statistics and Actuarial Science; Radiology
- Record Identifier
- 9984257619502771
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