{"id":"https://openalex.org/W2057138756","doi":"https://doi.org/10.1017/s0021900200021252","title":"Asymmetric COGARCH processes","display_name":"Asymmetric COGARCH processes","publication_year":2014,"publication_date":"2014-12-01","ids":{"openalex":"https://openalex.org/W2057138756","doi":"https://doi.org/10.1017/s0021900200021252","mag":"2057138756"},"language":"en","primary_location":{"id":"doi:10.1017/s0021900200021252","is_oa":false,"landing_page_url":"https://doi.org/10.1017/s0021900200021252","pdf_url":null,"source":{"id":"https://openalex.org/S160779208","display_name":"Journal of Applied Probability","issn_l":"0021-9002","issn":["0021-9002","1475-6072"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310311721","host_organization_name":"Cambridge University Press","host_organization_lineage":["https://openalex.org/P4310311721","https://openalex.org/P4310311702"],"host_organization_lineage_names":["Cambridge University Press","University of Cambridge"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Applied Probability","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5010439732","display_name":"Anita Behme","orcid":"https://orcid.org/0000-0002-9999-7589"},"institutions":[{"id":"https://openalex.org/I62916508","display_name":"Technical University of Munich","ror":"https://ror.org/02kkvpp62","country_code":"DE","type":"education","lineage":["https://openalex.org/I62916508"]}],"countries":["DE"],"is_corresponding":true,"raw_author_name":"Anita Behme","raw_affiliation_strings":["Center for Mathematical Sciences, Technische Universit\u00e4t M\u00fcnchen, 85748 Garching, Boltzmannstrasse 3, Germany. Email address:","Technische Universit\u00e4t M\u00fcnchen Center for Mathematical Sciences, Technische Universit\u00e4t M\u00fcnchen, 85748 Garching, Boltzmannstrasse 3, Germany"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Center for Mathematical Sciences, Technische Universit\u00e4t M\u00fcnchen, 85748 Garching, Boltzmannstrasse 3, Germany. Email address:","institution_ids":["https://openalex.org/I62916508"]},{"raw_affiliation_string":"Technische Universit\u00e4t M\u00fcnchen Center for Mathematical Sciences, Technische Universit\u00e4t M\u00fcnchen, 85748 Garching, Boltzmannstrasse 3, Germany","institution_ids":["https://openalex.org/I62916508"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5029091099","display_name":"Claudia Kl\u00fcppelberg","orcid":"https://orcid.org/0000-0002-0189-2384"},"institutions":[{"id":"https://openalex.org/I62916508","display_name":"Technical University of Munich","ror":"https://ror.org/02kkvpp62","country_code":"DE","type":"education","lineage":["https://openalex.org/I62916508"]}],"countries":["DE"],"is_corresponding":false,"raw_author_name":"Claudia Kl\u00fcppelberg","raw_affiliation_strings":["Center for Mathematical Sciences, Technische Universit\u00e4t M\u00fcnchen, 85748 Garching, Boltzmannstrasse 3, Germany. Email address:","Technische Universit\u00e4t M\u00fcnchen Center for Mathematical Sciences, Technische Universit\u00e4t M\u00fcnchen, 85748 Garching, Boltzmannstrasse 3, Germany"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Center for Mathematical Sciences, Technische Universit\u00e4t M\u00fcnchen, 85748 Garching, Boltzmannstrasse 3, Germany. Email address:","institution_ids":["https://openalex.org/I62916508"]},{"raw_affiliation_string":"Technische Universit\u00e4t M\u00fcnchen Center for Mathematical Sciences, Technische Universit\u00e4t M\u00fcnchen, 85748 Garching, Boltzmannstrasse 3, Germany","institution_ids":["https://openalex.org/I62916508"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5091395928","display_name":"Kathrin Mayr","orcid":null},"institutions":[{"id":"https://openalex.org/I62916508","display_name":"Technical University of Munich","ror":"https://ror.org/02kkvpp62","country_code":"DE","type":"education","lineage":["https://openalex.org/I62916508"]}],"countries":["DE"],"is_corresponding":false,"raw_author_name":"Kathrin Mayr","raw_affiliation_strings":["Center for Mathematical Sciences, Technische Universit\u00e4t M\u00fcnchen, 85748 Garching, Boltzmannstrasse 3, Germany"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Center for Mathematical Sciences, Technische Universit\u00e4t M\u00fcnchen, 85748 Garching, Boltzmannstrasse 3, Germany","institution_ids":["https://openalex.org/I62916508"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5010439732"],"corresponding_institution_ids":["https://openalex.org/I62916508"],"apc_list":null,"apc_paid":null,"fwci":0.8292,"has_fulltext":true,"cited_by_count":3,"citation_normalized_percentile":{"value":0.79016116,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":90,"max":94},"biblio":{"volume":"51","issue":"A","first_page":"161","last_page":"173"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9997000098228455,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9997000098228455,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.9832000136375427,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10007","display_name":"Monetary Policy and Economic Impact","score":0.9822999835014343,"subfield":{"id":"https://openalex.org/subfields/2000","display_name":"General Economics, Econometrics and Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.8529697060585022},{"id":"https://openalex.org/keywords/moment","display_name":"Moment (physics)","score":0.6440969705581665},{"id":"https://openalex.org/keywords/autoregressive-conditional-heteroskedasticity","display_name":"Autoregressive conditional heteroskedasticity","score":0.6075549125671387},{"id":"https://openalex.org/keywords/jump","display_name":"Jump","score":0.6064656972885132},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.4940979778766632},{"id":"https://openalex.org/keywords/estimation","display_name":"Estimation","score":0.46498531103134155},{"id":"https://openalex.org/keywords/maximum-likelihood","display_name":"Maximum likelihood","score":0.4640442728996277},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.4276009500026703},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.3480013608932495},{"id":"https://openalex.org/keywords/statistical-physics","display_name":"Statistical physics","score":0.3244224786758423},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.10670685768127441},{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.10536593198776245}],"concepts":[{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.8529697060585022},{"id":"https://openalex.org/C179254644","wikidata":"https://www.wikidata.org/wiki/Q13222844","display_name":"Moment (physics)","level":2,"score":0.6440969705581665},{"id":"https://openalex.org/C23922673","wikidata":"https://www.wikidata.org/wiki/Q180752","display_name":"Autoregressive conditional heteroskedasticity","level":3,"score":0.6075549125671387},{"id":"https://openalex.org/C2780695682","wikidata":"https://www.wikidata.org/wiki/Q4005959","display_name":"Jump","level":2,"score":0.6064656972885132},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.4940979778766632},{"id":"https://openalex.org/C96250715","wikidata":"https://www.wikidata.org/wiki/Q965330","display_name":"Estimation","level":2,"score":0.46498531103134155},{"id":"https://openalex.org/C49781872","wikidata":"https://www.wikidata.org/wiki/Q1045555","display_name":"Maximum likelihood","level":2,"score":0.4640442728996277},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.4276009500026703},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.3480013608932495},{"id":"https://openalex.org/C121864883","wikidata":"https://www.wikidata.org/wiki/Q677916","display_name":"Statistical physics","level":1,"score":0.3244224786758423},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.10670685768127441},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.10536593198776245},{"id":"https://openalex.org/C62520636","wikidata":"https://www.wikidata.org/wiki/Q944","display_name":"Quantum mechanics","level":1,"score":0.0},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.0},{"id":"https://openalex.org/C187736073","wikidata":"https://www.wikidata.org/wiki/Q2920921","display_name":"Management","level":1,"score":0.0},{"id":"https://openalex.org/C74650414","wikidata":"https://www.wikidata.org/wiki/Q11397","display_name":"Classical mechanics","level":1,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1017/s0021900200021252","is_oa":false,"landing_page_url":"https://doi.org/10.1017/s0021900200021252","pdf_url":null,"source":{"id":"https://openalex.org/S160779208","display_name":"Journal of Applied Probability","issn_l":"0021-9002","issn":["0021-9002","1475-6072"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310311721","host_organization_name":"Cambridge University Press","host_organization_lineage":["https://openalex.org/P4310311721","https://openalex.org/P4310311702"],"host_organization_lineage_names":["Cambridge University Press","University of Cambridge"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Applied Probability","raw_type":"journal-article"},{"id":"pmh:oai:CiteSeerX.psu:10.1.1.757.9636","is_oa":false,"landing_page_url":"http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.757.9636","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"http://arxiv.org/pdf/1403.7068.pdf","raw_type":"text"}],"best_oa_location":null,"sustainable_development_goals":[{"id":"https://metadata.un.org/sdg/8","score":0.6200000047683716,"display_name":"Decent work and economic growth"}],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":26,"referenced_works":["https://openalex.org/W289971051","https://openalex.org/W406650945","https://openalex.org/W630096583","https://openalex.org/W1496933810","https://openalex.org/W1753232130","https://openalex.org/W1979575715","https://openalex.org/W1994177366","https://openalex.org/W1999996900","https://openalex.org/W2005424182","https://openalex.org/W2013109882","https://openalex.org/W2022695740","https://openalex.org/W2060628720","https://openalex.org/W2061160212","https://openalex.org/W2073487155","https://openalex.org/W2086346266","https://openalex.org/W2116067476","https://openalex.org/W2120567649","https://openalex.org/W2140971281","https://openalex.org/W2141806364","https://openalex.org/W2146628621","https://openalex.org/W2152141296","https://openalex.org/W2162422149","https://openalex.org/W2164923280","https://openalex.org/W3104648698","https://openalex.org/W3105664932","https://openalex.org/W3126127564"],"related_works":["https://openalex.org/W2351666715","https://openalex.org/W3121451151","https://openalex.org/W2757332726","https://openalex.org/W2372876907","https://openalex.org/W1996655716","https://openalex.org/W1967543778","https://openalex.org/W2382902960","https://openalex.org/W3124905861","https://openalex.org/W2464186835","https://openalex.org/W2370586879"],"abstract_inverted_index":{"Financial":[0],"data":[1],"are":[2,11,52],"as":[3],"a":[4],"rule":[5],"asymmetric,":[6],"although":[7],"most":[8],"econometric":[9],"models":[10,18],"symmetric.":[12],"This":[13],"applies":[14],"also":[15],"to":[16],"continuous-time":[17,32],"for":[19,54],"high-frequency":[20],"and":[21,45,57],"irregularly":[22],"spaced":[23],"data.":[24],"We":[25,41],"discuss":[26],"some":[27],"asymmetric":[28],"versions":[29],"of":[30,62],"the":[31,38,47,63],"GARCH":[33],"model,":[34],"concentrating":[35],"then":[36],"on":[37],"GJR-COGARCH":[39,64],"model.":[40],"calculate":[42],"higher-order":[43],"moments":[44],"extend":[46],"first-jump":[48],"approximation.":[49],"These":[50],"results":[51],"prerequisites":[53],"moment":[55],"estimation":[56,61],"pseudo":[58],"maximum":[59],"likelihood":[60],"model":[65],"parameters,":[66],"respectively,":[67],"which":[68],"we":[69],"derive":[70],"in":[71],"detail.":[72]},"counts_by_year":[{"year":2019,"cited_by_count":1},{"year":2017,"cited_by_count":1},{"year":2015,"cited_by_count":1}],"updated_date":"2026-07-15T18:14:33.161393","created_date":"2025-10-10T00:00:00"}
