Method of moment estimation in the COGARCH(1,1) model
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Publication:5427673
DOI10.1111/j.1368-423X.2007.00210.xzbMath1186.91231WikidataQ59278119 ScholiaQ59278119MaRDI QIDQ5427673
Alexander M. Lindner, Claudia Klüppelberg, Stephan Haug, M. Zapp
Publication date: 21 November 2007
Published in: The Econometrics Journal (Search for Journal in Brave)
Lévy process; GARCH process; moment estimator; stochastic votality; continuous time GARCH process; votality estimation
91G70: Statistical methods; risk measures
91B62: Economic growth models
91B82: Statistical methods; economic indices and measures