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August 13, 2026
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Построение COGARCH (Continuous GARCH) модели

С. 171–176.
Panov V., Markova A.

       The article considers the procedure of constructing COGARCH volatility models with continuous time based on the Levy processes. The article describes the procedure of constructing the model in the general case and in the case of compound Poisson process.

Language: Russian
Full text
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Keywords: волатильностьстохастическое моделированиеvolatilityLevy processesstochastic modelingПроцессы ЛевиCOGARCH modelмодель COGARCH
Publication based on the results of:
Стохастические и функционально-аналитические методы в исследовании сложных динамических процессов в экономике (2014)

In book

Математическое моделирование в экономике, страховании и управлении рисками: сборник материалов IV Международной молодежной научно-практической конференции
Т. 1. , Саратов: Издательство Саратовского университета, 2015.
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