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

zbMATH Open1314.62197MaRDI QIDQ5255141FDOQ5255141

Authors: Moosup Kim, Sangyeol Lee 

Publication date: 12 June 2015

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

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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)

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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