Asymmetric COGARCH processes (Q5245621)

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scientific article; zbMATH DE number 6424993
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Asymmetric COGARCH processes
scientific article; zbMATH DE number 6424993

    Statements

    title
    Asymmetric COGARCH processes (English)
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    author
    Anita Behme
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    Claudia Klüppelberg
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    Kathrin Mayr
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    publication date
    14 April 2015
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    Mathematics Subject Classification ID
    60G10
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    60G51
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    62M10
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    62F10
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    62M05
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    91G70
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    zbMATH DE Number
    6424993
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    zbMATH Keywords
    asymmetric COGARCH processes
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    first-jump approximation
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    maximum-likelihood estimation
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    high-frequency data
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    method of moments
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    stochastic volatility
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    OpenAlex ID
    W2963544553
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    arXiv ID
    1403.7068
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