4 papers
Limit theorems for stochastic exponentials of matrix-valued Lévy processes
Anita Behme, Sebastian Mentemeier
We study the long-time behaviour of matrix-valued stochastic exponentials of Lévy processes, i.e. of multiplicative Lévy processes in the general linear group. In particular, we pr…
Volatility modeling in a Markovian environment: Two Ornstein-Uhlenbeck-related approaches
Anita Behme
We introduce generalizations of the COGARCH model of Klüppelberg et al. from 2004 and the volatility and price model of Barndorff-Nielsen and Shephard from 2001 to a Markov-switchi…
Invariant measures of Lévy-type operators and their associated Markov processes
Anita Behme, David Oechsler
A distributional equation as a criterion for invariant measures of Markov processes associated to Lévy-type operators is established. This is obtained via a characterization of inf…
Asymmetric COGARCH processes
Anita Behme, Claudia Klüppelberg, Kathrin Mayr
Financial data are as a rule asymmetric, although most econometric models are symmetric. This applies also to continuous-time models for high-frequency and irregularly spaced data.…