Moment‐based estimation for the multivariate COGARCH(1,1) process (Q5043775)
From MaRDI portal
scientific article; zbMATH DE number 7597057
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Moment‐based estimation for the multivariate COGARCH(1,1) process |
scientific article; zbMATH DE number 7597057 |
Statements
Moment‐based estimation for the multivariate COGARCH(1,1) process (English)
0 references
6 October 2022
0 references
estimation
0 references
generalized method of moments
0 references
Lévy process
0 references
model identification
0 references
multivariate continuous time GARCH
0 references
second-order moment structure
0 references
