GARCH modelling in continuous time for irregularly spaced time series data

DOI10.3150/07-BEJ6189zbMath1155.62067arXiv0805.2096MaRDI QIDQ1002568

Gernot J. Müller, Ross A. Maller, Alex Szimayer

Publication date: 2 March 2009

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0805.2096

zbMATH Keywords

stochastic volatility; Lévy process; continuous-time GARCH process; COGARCH process; pseudo-maximum likelihood estimation; Skorokhod distance

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62P05: Applications of statistics to actuarial sciences and financial mathematics

Related Items

Asymmetric COGARCH processes, Limit experiments of GARCH, V-uniform ergodicity of a continuous time asymmetric power GARCH(1,1) model, Recent results in the theory and applications of CARMA processes, Asymptotic results for sample autocovariance functions and extremes of integrated generalized Ornstein-Uhlenbeck processes, First jump approximation of a Lévy-driven SDE and an application to multivariate ECOGARCH processes, Stochastic interest rate volatility modeling with a continuous-time GARCH(1,1) model, Weighted empirical processes in the nonparametric inference for Lévy processes, MULTIVARIATE ECOGARCH PROCESSES

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