Method of moment estimation in the COGARCH(1,1) model (Q5427673): Difference between revisions

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+Time series: theory and methods
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+Closing the GARCH gap: Continuous time GARCH modeling
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+Asymptotic results for sample autocovariance functions and extremes of integrated generalized Ornstein-Uhlenbeck processes
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+Q5624460
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+A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour
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+Lévy integrals and the stationarity of generalised Ornstein-Uhlenbeck processes
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+Invariance principles for dependent variables
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+Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process.
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+ARCH models as diffusion approximations
@@ Property / cites work: ARCH models as diffusion approximations / rank @@
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+Q4435813
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+Asymptotic Statistics
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+https://doi.org/10.1111/j.1368-423x.2007.00210.x
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+W2146628621
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+Publication:5427673