GARCH modelling in continuous time for irregularly spaced time series data
From MaRDI portal
Publication:1002568
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
stochastic volatility; Lévy process; continuous-time GARCH process; COGARCH process; pseudo-maximum likelihood estimation; Skorokhod distance
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
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