Method of moment estimation in the COGARCH(1,1) model

DOI10.1111/J.1368-423X.2007.00210.XzbMath1186.91231OpenAlexW2146628621WikidataQ59278119 ScholiaQ59278119MaRDI QIDQ5427673

Alexander M. Lindner, M. Zapp, Stephan Haug, Claudia Klüppelberg

Publication date: 21 November 2007

Published in: Unnamed Author (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1368-423x.2007.00210.x

zbMATH Keywords

Lévy processGARCH processmoment estimatorstochastic votalitycontinuous time GARCH processvotality estimation

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Economic growth models (91B62) Statistical methods; economic indices and measures (91B82)

Cites Work

• Unnamed Item
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• Asymptotic results for sample autocovariance functions and extremes of integrated generalized Ornstein-Uhlenbeck processes
• Time series: theory and methods
• Closing the GARCH gap: Continuous time GARCH modeling
• Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process.
• Lévy integrals and the stationarity of generalised Ornstein-Uhlenbeck processes
• ARCH models as diffusion approximations
• Asymptotic Statistics
• A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour
• Invariance principles for dependent variables

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