In this paper we consider a continuous-time autoregressive moving average (CARMA) process (Yt)t∈R driven by a symmetric α-stable Lévy process with α∈(0,2] sampled at a high-frequency time-grid {0,Δn,2Δn,…,nΔn}, where the observation grid gets finer and the last observation tends to...

Conditions for the existence of strictly stationary multivariate GARCH processes in the so-called BEKK parametrisation, which is the most general form of multivariate GARCH processes typically used in applications, and for their geometric ergodicity are obtained. The conditions are that the...

Wissen durch Anwendung verfestigen! Hierzu muss auch im Zeitalter der Computer-Unterstützung zunächt einmal selbst gerechnet werden. Dieses Arbeitsbuch bietet praxisbezogene Aufgaben sowie eine Fallstudie, die controlling-orientiert die Informationsversorgung von Planung und Kontrolle...