GARCH modelling in continuous time for irregularly spaced time series data

DOI10.3150/07-BEJ6189zbMath1155.62067arXiv0805.2096MaRDI QIDQ1002568

Ross A. Maller, Alex Szimayer, Gernot J. Müller

Publication date: 2 March 2009

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0805.2096

zbMATH Keywords

stochastic volatilityLévy processcontinuous-time GARCH processCOGARCH processpseudo-maximum likelihood estimationSkorokhod distance

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (14)

MULTIVARIATE ECOGARCH PROCESSES ⋮ Using COGARCH-Filtered Volatility in Modelling Within ARDL Framework ⋮ Higher Moments and Prediction‐Based Estimation for the COGARCH(1,1) Model ⋮ Geometric ergodicity of the multivariate COGARCH(1,1) process ⋮ Asymptotic results for sample autocovariance functions and extremes of integrated generalized Ornstein-Uhlenbeck processes ⋮ Limit experiments of GARCH ⋮ V-uniform ergodicity of a continuous time asymmetric power GARCH(1,1) model ⋮ Weighted empirical processes in the nonparametric inference for Lévy processes ⋮ Recent results in the theory and applications of CARMA processes ⋮ Data cloning estimation of GARCH and COGARCH models ⋮ First jump approximation of a Lévy-driven SDE and an application to multivariate ECOGARCH processes ⋮ Asymmetric COGARCH processes ⋮ The continuous limit of weak GARCH ⋮ Stochastic interest rate volatility modeling with a continuous-time GARCH(1,1) model

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