Method of moment estimation in the COGARCH(1,1) model

DOI10.1111/j.1368-423X.2007.00210.xzbMath1186.91231OpenAlexW2146628621WikidataQ59278119 ScholiaQ59278119MaRDI QIDQ5427673

Alexander M. Lindner, M. Zapp, Stephan Haug, Claudia Klüppelberg

Publication date: 21 November 2007

Published in: The Econometrics Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1368-423x.2007.00210.x

zbMATH Keywords

Lévy processGARCH processmoment estimatorstochastic votalitycontinuous time GARCH processvotality estimation

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Economic growth models (91B62) Statistical methods; economic indices and measures (91B82)

Related Items (21)

Using COGARCH-Filtered Volatility in Modelling Within ARDL Framework ⋮ METHOD OF MOMENTS ESTIMATION FOR LÉVY-DRIVEN ORNSTEIN–UHLENBECK STOCHASTIC VOLATILITY MODELS ⋮ Semi-Lévy driven continuous-time GARCH process ⋮ Higher Moments and Prediction‐Based Estimation for the COGARCH(1,1) Model ⋮ Yule-Walker type estimator of first-order time-varying periodic bilinear differential model for stochastic processes ⋮ Moment method estimation of first-order continuous-time bilinear processes ⋮ Geometric ergodicity of the multivariate COGARCH(1,1) process ⋮ Asymptotic results for sample autocovariance functions and extremes of integrated generalized Ornstein-Uhlenbeck processes ⋮ Multivariate COGARCH(1, 1) processes ⋮ Geometric ergodicity of affine processes on cones ⋮ A high-low based omnibus test for symmetry, the Lévy property, and other hypotheses on intraday returns ⋮ V-uniform ergodicity of a continuous time asymmetric power GARCH(1,1) model ⋮ Recent results in the theory and applications of CARMA processes ⋮ Functional Relationships Between Price and Volatility Jumps and Their Consequences for Discretely Observed Data ⋮ Joint analysis and estimation of stock prices and trading volume in Barndorff-Nielsen and Shephard stochastic volatility models ⋮ GARCH modelling in continuous time for irregularly spaced time series data ⋮ On the limiting distribution of sample central moments ⋮ Data cloning estimation of GARCH and COGARCH models ⋮ Asymmetric COGARCH processes ⋮ Aspects of prediction ⋮ Stochastic interest rate volatility modeling with a continuous-time GARCH(1,1) model

Cites Work

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• Asymptotic results for sample autocovariance functions and extremes of integrated generalized Ornstein-Uhlenbeck processes
• Time series: theory and methods
• Closing the GARCH gap: Continuous time GARCH modeling
• Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process.
• Lévy integrals and the stationarity of generalised Ornstein-Uhlenbeck processes
• ARCH models as diffusion approximations
• Asymptotic Statistics
• A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour
• Invariance principles for dependent variables

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