Asymmetric COGARCH processes

DOI10.1239/jap/1417528473zbMath1329.60093arXiv1403.7068OpenAlexW2963544553MaRDI QIDQ5245621

Claudia Klüppelberg, Kathrin Mayr, Anita Behme

Publication date: 14 April 2015

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1403.7068

zbMATH Keywords

stochastic volatilityhigh-frequency datamethod of momentsmaximum-likelihood estimationasymmetric COGARCH processesfirst-jump approximation

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70) Point estimation (62F10) Stationary stochastic processes (60G10) Markov processes: estimation; hidden Markov models (62M05)

Related Items

Higher Moments and Prediction‐Based Estimation for the COGARCH(1,1) Model ⋮ Geometric ergodicity of the multivariate COGARCH(1,1) process

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