On the maximum likelihood estimator for irregularly observed time series data from COGARCH(1,1) models

MaRDI QIDQ5255141zbMATH OpenFDO

Authors Moosup Kim, Sangyeol Lee

Publication date 12 June 2015

Full work available at URL https://www.ine.pt/revstat/pdf/rs130202.pdf

zbMATH Keywords

asymptotic normalityconsistencymaximum likelihood estimationsampling schemeCOGARCH(1,1) modelsirregular time spaces

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09)

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Cited in

(4)

• Discrete-time approximation of a COGRAPH(\(p,q\)) model and its estimation
• Method of moment estimation in the COGARCH(1,1) model
• Asymmetric COGARCH processes
• Indirect inference for Lévy-driven continuous-time GARCH models

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