Indirect Inference for Lévy‐driven continuous‐time GARCH models

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

Claudia Klüppelberg, Stephan Haug, Thiago do Rêgo Sousa

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 normality; bias reduction; projection methods; strong consistency; indirect inference estimation; continuous-time GARCH

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

62F12: Asymptotic properties of parametric estimators

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)