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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Haug, S., Klüppelberg, C., Lindner, A. and Zapp, M. 
Titel:
Method of moment estimation in the COGARCH(1,1) model 
Abstract:
We suggest moment estimators for the parameters of a continuous time GARCH(1,1) process based on equally spaced observations. Using the fact that the increments of the COGARCH(1,1) process are strongly mixing with exponential rate, we show that the resulting estimators are consistent and asymptotically normal. We investigate the empirical quality of our estimators in a simulation study based on the variance gamma driven COGARCH(1,1) model. The estimated volatility with corresponding residual a...    »
 
Stichworte:
continuous time GARCH process, GARCH process, Levy process, moment estimator, stochastic volatility, volatility estimation 
Zeitschriftentitel:
The Econometrics Journal 
Jahr:
2007 
Band / Volume:
10 
Heft / Issue:
Seitenangaben Beitrag:
320-341 
Reviewed:
ja 
Sprache:
en 
Status:
Erstveröffentlichung 
Semester:
SS 07 
TUM Einrichtung:
Lehrstuhl für Mathematische Statistik 
Format:
Text