MULTIVARIATE ECOGARCH PROCESSES
将指数连续时间GARCH模型扩展到多元情形，研究其平稳性和混合性质，并展示如何建模成分杠杆效应。
A multivariate extension of the exponential continuous time GARCH ( p , q ) model (ECOGARCH) is introduced and studied. Stationarity and mixing properties of the new stochastic volatility model are investigated, and ways to model a component-wise leverage effect are presented.