Indirect Inference for Lévy‐driven continuous‐time GARCH models

DOI10.1111/sjos.12371zbMath1433.62269arXiv1712.09870OpenAlexW2999361908MaRDI QIDQ5242892

Stephan Haug, Thiago do Rêgo Sousa, Claudia Klüppelberg

Publication date: 7 November 2019

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1712.09870

zbMATH Keywords

asymptotic normalitybias reductionprojection methodsstrong consistencyindirect inference estimationcontinuous-time GARCH

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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