Moment-based estimation for the multivariate COGARCH(1,1) process

DOI10.1111/SJOS.12531MaRDI QIDQ5043775zbMATH OpenOpenAlexFDO

Authors Thiago do Rêgo Sousa, Robert Stelzer

Publication date 6 October 2022

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

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/1909.12378

zbMATH Keywords

estimationgeneralized method of momentsLévy processmodel identificationmultivariate continuous time GARCHsecond-order moment structure

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Markov processes: estimation; hidden Markov models (62M05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Abstract: For the multivariate COGARCH process, we obtain explicit expressions for the second-order structure of the "squared returns" process observed on an equidistant grid. Based on this, we present a generalized method of moments estimator for its parameters. Under appropriate moment and strong mixing conditions, we show that the resulting estimator is consistent and asymptotically normal. Sufficient conditions for strong mixing, stationarity and identifiability of the model parameters are discussed in detail. We investigate the finite sample behavior of the estimator in a simulation study.

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Cited in

(7)

• Higher moments and prediction-based estimation for the COGARCH(1,1) model
• Indirect inference for Lévy-driven continuous-time GARCH models
• On the maximum likelihood estimator for irregularly observed time series data from COGARCH(1,1) models
• Method of moment estimation in the COGARCH(1,1) model
• Multivariate COGARCH(1, 1) processes
• Inheritance of strong mixing and weak dependence under renewal sampling
• Method of moments estimation of GO-GARCH models

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