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MR2074811 62M10 (60G10 91B28 91B84)
Klüppelberg, Claudia; Lindner, Alexander; Maller, Ross A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour. J. Appl. Probab. 41 (2004), no. 3, 601–622.
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